Time Series Analysis: Nonstationary And Noninvertible Distribution Theory, Second Edition

This revised and expanded edition reflects the developments and new directions in the field since the publication of the first edition. In particular, sections on nonstationary panel data analysis and the discussion on the distinction between deterministic and stochastic trends have been added. Three new chapters on long-memory discrete-time and continuous-time processes have also been created, whereas some chapters have been merged and some sections deleted. The first eleven chapters of the first edition have been compressed into eight chapters and located under Part I: Analysis of Non-Fractional Time Series. Chapters nine through eleven have been newly written under Part II: Analysis of Fractional Time Series. 

The last chapter gives a complete set of solutions to problems posed at the end of most sections of each chapter. Most of the problems are concerned with corroborating the results described in the text, so that one can gain a better understanding of details of the discussions. Figures are produced by the methods described in this edition and include many distributions whose computational results have never appeared in the literature. The book can be used as a text for graduate students in econometrics or time series analysis. A general knowledge of mathematical statistics, including the theory of stationary processes, is presupposed, although the necessary material is offered in the text and problems of this book. Some knowledge of a programming language and computerized algebra is also useful.

Katsuto Tanaka, PhD, is a professor in the Faculty of Economics at Gakushuin University and was previously a professor at Hitotsubashi University. He is a recipient of the Tjalling C. Koopmans Econometric Theory Prize (1996), the Japan Statistical Society Prize (1998), and the Econometric Theory Award (1999). Aside from the first edition of Time Series Analysis (Wiley, 1996), Dr. Tanaka had published five econometrics and statistics books in Japanese.