Applications of Computer Aided Time Series Modeling

This book consists of three parts: Part One is composed of two introductory chapters. The first chapter provides an instrumental varible interpretation of the state space time series algorithm originally proposed by Aoki (1983), and gives an introductory account for incorporating exogenous signals in state space models. The second chapter, by Havenner, gives practical guidance in apply­ ing this algorithm by one of the most experienced practitioners of the method. Havenner begins by summarizing