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The Foundations of Modern Time Series Analysis - T. Mills 2011
Palgrave Advanced Texts in Econometrics series.
Series Editors:
Terence C. Mills, University of Loughborough, UK
Kerry Patterson, University of Reading, UK
Editorial board:
In Choi, Sogang University, South Korea
William Greene, Leonard N. Stern School of Business, USA
Niels Haldrup, University of Aarhus, Denmark
Tommasso Proietti, University of Rome, Italy and University of Sydney, Australia
Palgrave Advanced Texts in Econometrics is a series that provides coverage of econometric
techniques, applications and perspectives at an advanced research level. It will
include research monographs that bring current research to a wide audience; perspectives
on econometric themes that develop a long term view of key methodological advances;
textbook style presentations of advanced teaching and research topics. An over-riding
theme of this series is clear presentation and accessibility through excellence in exposition,
so that it will appeal not only to econometricians, but also to professional economists
and, particularly, to Ph.D students and MSc students undertaking dissertations. The texts
will include developments in theoretical and applied econometrics across a wide range of
topics and areas including time series analysis, panel data methods, spatial econometrics
and financial econometrics.
Palgrave Advanced Texts in Econometrics
Series Standing Order ISBN 978–0–230–34818–9
You can receive future titles in this series as they are published by placing a standing order.
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Customer Services Department, Macmillan Distribution Ltd, Houndmills, Basingstoke,
Hampshire RG21 6XS, England.
The Foundations of Modern
Time Series Analysis
Terence C. Mills
Professor of Applied Statistics and Econometrics, Department of Economics,
Loughborough University, UK
㏕erence C. Mills 2011
All rights reserved. No reproduction, copy or transmission of this
publication may be made without written permission.
No portion of this publication may be reproduced, copied or transmitted
save with written permission or in accordance with the provisions of the
Copyright, Designs and Patents Act 1988, or under the terms of any licence
permitting limited copying issued by the Copyright Licensing Agency,
Saffron House, 6?0 Kirby Street, London EC1N 8TS.
Any person who does any unauthorized act in relation to this publication
may be liable to criminal prosecution and civil claims for damages.
The author has asserted his right to be identified as the author
of this work in accordance with the Copyright, Designs and Patents Act 1988.
First published 2011 by
PALGRAVE MACMILLAN
Palgrave Macmillan in the UK is an imprint of Macmillan Publishers Limited,
registered in England, company number 785998, of Houndmills, Basingstoke,
Hampshire RG21 6XS.
Palgrave Macmillan in the US is a division of St Martin抯 Press LLC,
175 Fifth Avenue, NewYork, NY 10010.
Palgrave Macmillan is the global academic imprint of the above companies
and has companies and representatives throughout the world.
Palgrave?and Macmillan?are registered trademarks in the United States,
the United Kingdom, Europe and other countries.
ISBN 978??30?9018? hardback
ISBN 0?30?9018? hardback
This book is printed on paper suitable for recycling and made from fully
managed and sustained forest sources. Logging, pulping and manufacturing
processes are expected to conform to the environmental regulations of the
country of origin.
A catalogue record for this book is available from the British Library.
A catalog record for this book is available from the Library of Congress.
10 9 8 7 6 5 4 3 2 1
20 19 18 17 16 15 14 13 12 11
Printed and bound in Great Britain by
CPI Antony Rowe, Chippenham and Eastbourne
Contents
List of Tables vi
List of Figures ix
1 Prolegomenon: A Personal Perspective and an Explanation
of the Structure of the Book 1
2 Yule and Hooker and the Concepts of Correlation and Trend 6
3 Schuster, Beveridge and Periodogram Analysis 18
4 Detrending and the Variate Differencing Method: Student,
Pearson and Their Critics 30
5 Nonsense Correlations, Random Shocks and Induced Cycles:
Yule, Slutzky and Working 64
6 Periodicities in Sunspots and Air Pressure: Yule, Walker and
the Modelling of Superposed Fluctuations and Disturbances 116
7 The Formal Modelling of Stationary Time Series: Wold
and the Russians 142
8 Generalizations and Extensions of Stationary Autoregressive
Models: From Kendall to Box and Jenkins 183
9 Statistical Inference, Estimation and Model
Building for Stationary Time Series 207
10 Dealing with Nonstationarity: Detrending,
Smoothing and Differencing 261
11 Forecasting Nonstationary Time Series 289
12 Modelling Dynamic Relationships Between Time Series 317
13 Spectral Analysis of Time Series: The Periodogram
Revisited and Reclaimed 357
14 Tackling Seasonal Patterns in Time Series 375
15 Emerging Themes 396
16 The Scene is Set 403
Notes 419
References 431
Index 453
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