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Palgrave Macmillan

The Foundations of Modern Time Series Analysis

  • Book
  • © 2011

Overview

Authors:
  1. Terence C. Mills

    1. Department of Economics, Loughborough University, UK

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Part of the book series: Palgrave Advanced Texts in Econometrics (PATEC)

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Table of contents (16 chapters)

  1. Front Matter

    Pages i-xiv
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  2. Prolegomenon: A Personal Perspective and an Explanation of the Structure of the Book

    • Terence C. Mills
    Pages 1-5

  3. Yule and Hooker and the Concepts of Correlation and Trend

    • Terence C. Mills
    Pages 6-17

  4. Schuster, Beveridge and Periodogram Analysis

    • Terence C. Mills
    Pages 18-29

  5. Detrending and the Variate Differencing Method: Student, Pearson and Their Critics

    • Terence C. Mills
    Pages 30-63

  6. Nonsense Correlations, Random Shocks and Induced Cycles: Yule, Slutzky and Working

    • Terence C. Mills
    Pages 64-115

  7. Periodicities in Sunspots and Air Pressure: Yule, Walker and the Modelling of Superposed Fluctuations and Disturbances

    • Terence C. Mills
    Pages 116-141

  8. The Formal Modelling of Stationary Time Series: Wold and the Russians

    • Terence C. Mills
    Pages 142-182

  9. Generalizations and Extensions of Stationary Autoregressive Models: From Kendall to Box and Jenkins

    • Terence C. Mills
    Pages 183-206

  10. Statistical Inference, Estimation and Model Building for Stationary Time Series

    • Terence C. Mills
    Pages 207-260

  11. Dealing with Nonstationarity: Detrending, Smoothing and Differencing

    • Terence C. Mills
    Pages 261-288

  12. Forecasting Nonstationary Time Series

    • Terence C. Mills
    Pages 289-316

  13. Modelling Dynamic Relationships Between Time Series

    • Terence C. Mills
    Pages 317-356

  14. Spectral Analysis of Time Series: The Periodogram Revisited and Reclaimed

    • Terence C. Mills
    Pages 357-374

  15. Tackling Seasonal Patterns in Time Series

    • Terence C. Mills
    Pages 375-395

  16. Emerging Themes

    • Terence C. Mills
    Pages 396-402

  17. The Scene is Set

    • Terence C. Mills
    Pages 403-418

  18. Back Matter

    Pages 419-461
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Keywords

About this book

This book develops the analysis of Time Series from its formal beginnings in the 1890s through to the publication of Box and Jenkins' watershed publication in 1970, showing how these methods laid the foundations for the modern techniques of Time Series analysis that are in use today.

Authors and Affiliations

  • Department of Economics, Loughborough University, UK

    Terence C. Mills

About the author

TERENCE MILLS is Professor of Applied Statistics and Econometrics at Loughborough University, UK, having previously held professorial appointments at City University Business School and the University of Hull, UK. He has over 200 publications in a wide range of areas, including The Palgrave Handbook of Econometrics, Volumes 1 and 2 (co-edited with Kerry Patterson).

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