Specification of Time Series Models

This is the first book in statistics which discusses in detail the problem of model specification in time series analysis. Model specification is no doubt the most crucial and difficult step in the "Box-Jenkins" as well as nonlinear approach to analyzing and forecasting time series data. The specification stage is less satisfactorily dealt with in Box and Jenkins (1976) and in later textbooks. The topic of specification has received so much attention recently in the research literature that it warrants a whole text, rather than a single chapter. We have also discussed the specification problem in the context of some nonlinear time series models which is a feature of this book. Readers of the book will be assumed to have some familiarity with the basic ideas of time series analysis. However, such knowledge need not be too deep or recent.