Time series analysis : univariate and multivariate methods / by Wei, William W S

Table of Contents: “…Fundamental concepts -- 3. Stationary time series models -- 4. Nonstationary time series models -- 5. …”

Time series analysis / by Hamilton, James Douglas

Table of Contents: “…Time series models of heteroscedasticity -- 22. Modeling time series with changes in regime -- A. …”
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Forecasting, structural time series models and the Kalman filter / by Harvey, Anrew C.

Microcomputer forecasting and stabilisation of multiple time series in the state space by Vishwakarma, Keshav P

The Theory and practice of econometrics /

Table of Contents: “…. -- Inference in general statistical models and time series. -- Some Asymptotic Theory and Other General Results for the Linear Statistical Model. -- Nonlinear Statistical Models. -- Time Series. -- Dynamic specifications. -- Autocorrelation. -- Finite Distributed Lags. -- Infinite Distributed Lags. -- Some alternative covariance structures. -- Heteroskedasticity. -- Disturbance-Related Sets of Regression Equations. -- Inference in Models that Combine Time Series and Cross-Sectional Data. -- Inference in simultaneous equation models. -- Specification and Identification in Simultaneous Equation Models. -- Estimation and Inference in a System of Simultaneous Equations. -- Multiple Time Series and Systems of Dynamic Simultaneous Equations. -- Further model extensions. -- Unobservable Variables. -- Qualitative and Limited Dependent Variable Models. -- Varying and Random Coefficient Models. -- Non-Normal Disturbances. -- On Selecting the Set of Aggressors. -- Multicollinearity. -- Appendices.…”