Time Series Analysis: Nonstationary and Noninvertible Distribution Theory, 2/e (Hardcover)

Reflects the developments and new directions in the field since the publication of the first successful edition and contains a complete set of problems and solutions

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 a 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 ten chapters, with a chapter on nonstationary panel added and located under Part I: Analysis of Non-fractional Time Series. Chapters 12 to 14 have been newly written under Part II: Analysis of Fractional Time Series. Chapter 12 discusses the basic theory of long-memory processes by introducing ARFIMA models and the fractional Brownian motion (fBm). Chapter 13 is concerned with the computation of distributions of quadratic functionals of the fBm and its ratio. Next, Chapter 14 introduces the fractional Ornstein-Uhlenbeck process, on which the statistical inference is discussed. Finally, Chapter 15 gives a complete set of solutions to problems posed at the end of most sections. This new edition features:

- Sections to discuss nonstationary panel data analysis, the problem of differentiating between deterministic and stochastic trends, and nonstationary processes of local deviations from a unit root

- Consideration of the maximum likelihood estimator of the drift parameter, as well as asymptotics as the sampling span increases

- Discussions on not only nonstationary but also noninvertible time series from a theoretical viewpoint

- New topics such as the computation of limiting local powers of panel unit root tests, the derivation of the fractional unit root distribution, and unit root tests under the fBm error

Time Series Analysis: Nonstationary and Noninvertible Distribution Theory, Second Edition, is a reference for graduate students in econometrics or time series analysis.

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.

這本修訂和擴充版反映了自第一版成功出版以來該領域的發展和新方向，並包含了一套完整的問題和解答。

這個修訂和擴充版反映了自第一版出版以來該領域的發展和新方向。特別是，增加了關於非定常面板數據分析和確定性和隨機趨勢之間區別的討論部分。同時新增了三個關於長記憶離散時間和連續時間過程的章節，並合併了一些章節，刪除了一些部分。第一版的前十一章壓縮成了十個章節，並在第一部分「非分數時間序列分析」下新增了一個關於非定常面板的章節。第12章至第14章是在第二部分「分數時間序列分析」下新增的。第12章介紹了長記憶過程的基本理論，引入了ARFIMA模型和分數布朗運動（fBm）。第13章討論了計算fBm及其比率的二次函數分佈的問題。接下來，第14章介紹了分數奧恩斯坦-烏倫貝克過程，並討論了統計推斷。最後，第15章提供了對大多數章節末尾提出的問題的完整解答。這個新版的特點包括：

- 討論非定常面板數據分析、區分確定性和隨機趨勢的問題，以及局部偏離單位根的非定常過程
- 考慮漂移參數的最大概似估計器，以及在樣本跨度增加時的漸近性
- 從理論角度討論非定常和非可逆時間序列
- 新的主題，如計算面板單位根檢驗的極限局部功率、分數單位根分佈的推導，以及在fBm誤差下的單位根檢驗

《時間序列分析：非定常和非可逆分佈理論，第二版》是經濟計量學或時間序列分析研究生的參考書。

田中勝人博士是學習院大學經濟學院的教授，曾任一橋大學教授。他曾獲得Tjalling C. Koopmans經濟計量理論獎（1996年）、日本統計學會獎（1998年）和經濟計量理論獎（1999年）。除了第一版的《時間序列分析》（Wiley，1996年）外，田中博士還在日本出版了五本經濟計量學和統計學的書籍。

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.

田中勝人博士是學習院大學經濟學院的教授，曾任職於一橋大學。他曾獲得Tjalling C. Koopmans經濟計量理論獎（1996年）、日本統計學會獎（1998年）和經濟計量理論獎（1999年）。除了第一版的時間序列分析（Wiley，1996年）外，田中博士還在日本出版了五本計量經濟學和統計學的書籍。