Time Series Models

Manfred Deistler is Emeritus Professor of Econometrics and System Theory at the Institute of Statistics and Mathematical Methods in Economics at the TU Wien, Vienna, Austria. His research interests include time series analysis, systems identification and econometrics. He is a Fellow of the Econometric Society, the IEEE, and the Journal of Econometrics.Wolfgang Scherrer is a Professor of Econometrics and System Theory at the Institute of Statistics and Mathematical Methods in Economics at the TU Wien, Vienna, Austria. His research interests include time series analysis, econometrics, dynamic factor models and applications in the area of energy supply.

“The book is not too long, with roughly 200 pages, which is advantageous for the use in lectures. … it is also well suited for seminars following such lectures on more advanced topics in time series analysis. … the book fills a small but important gap in the literature, finding its place in the plethora of time series textbooks.” (Claudia Kirch, zbMATH 1532.62006, 2024)“This lecture note is recommended as a textbook that is quite plainly written for graduate students and research workers who are interested in deeply understanding time series modeling.” (Yuzo Hosoya, Mathematical Reviews, October, 2023)

• Preface.- 1 Time Series and Stationary Processes.- 2 Prediction.- 3 Spectral Representation.- 4 Filter.- 5 Autoregressive Processes.- 6 ARMA Systems and ARMA Processes.- 7 State-Space Systems.- 8 Models with Exogenous Variables.- 9 Granger Causality.- 10 Dynamic Factor Models.- 10 ARCH and GARCH Models.- Index.