Examples from the book coded by Rajesh Selukar (SAS Institute)

Beside the PROC UCM documented in my book, SAS/ETS has a procedure to estimate models in general linear state space form called PROC SSM. I am sorry not to have covered it in the last chapter of the book, but thanks to the kindness of Rajesh Selukar (SAS Institute), who reproduced some examples in the book using PROC SSM, these codes are now available in the SAS/ETS code page of this site.

Thanks, Rajesh!

Review of the book on the Journal of Time Series Analysis

Professor Mohsen Pourahmadi reviewd Time Series Modelling with Unobserved Components on the Journal of Time Series Analysis.

Here is a link to the full review.

Here is an excerpt:

“Overall, this is a unique book on time series analysis in that it covers substantial amount of material lucidly and succinctly without much fluffs in less than 260 pages and achieves its five stated goals. I enjoyed reading the book, and I believe it is an excellent reference book for UCM and related software packages, time series analysis and study of business cycles. It can also be used as a companion for teaching time series analysis along with a standard time series text.”