A new version of the errata is available on the Errata page (or here).

Many thanks to my student Daniele Livio for spotting out other typos.

Please donwload the new errata for the book.

Many thanks to my students who are finding typos and mistakes in my book.

You can find the updated errata in the errata page.

Thanks to my students for spotting out my mistakes.

You can find the updated errata in the errata page.

Thanks to my students for spotting out my mistakes.

You can find the updated errata in the errata page.

You can download the data and code for the training course “Applied Time Series Modelling with Unobserved Component Models” here.

You can find the updated errata in the Errata page.

Professor Michel van der Wel (Erasmus University Rotterdam) reviewd Time Series Modelling with Unobserved Components on the American Statistician.

Here is a link to the full review.

Here is an excerpt:

“The main contribution of the book relative to existing books on this topic is that it emphasizes the actual model class, rather than methods for these kind of models. The author points out that despite the many advantages of this rich class, its use is still limited among practitioners. He hopes that his new angle will further popularize unobserved component models…the book really achieves its purpose and differentiates itself from alternatives, and is therefore a valuable addition and worth buying. The discussion of software in Chapter 10 is extremely timely and a great plus for practitioners and researchers that are ready to sit down and start implementing. For each software package, clear examples are given on how to run an example unobserved component model […] In closing, the book reads well and really provides the reader with a broad understanding of the unobserved component approach. This includes models, methods, and the discussion of software packages. I can imagine that besides being relevant and interesting for practitioners, students will benefit from reading this book. I personally would be more than happy to suggest it to Master and advanced Bachelor students in Econometrics working on the topic in a course or for their thesis.”

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!

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.”