The attached zip has the examples from Brockwell and Davis,
Introduction to Time Series and Forecasting , 2e, 2002, Springer-Verlag. This is an introductory time series book written by a pair of statisticians, so there are slight differences in presentation from what is commonly used in business/economics books of a similar type. For instance, vector autoregressions are estimated using Yule-Walker equations, which enforces stationarity, while econometricians generally use OLS which doesn't. Most of the examples are fairly short, demonstrating one operation at a time.
brockwell_2.zip- Zip with data, programs, procedures
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| Example | Description | RATS Level |
| itsfp010.rpf | Polynomial trend | Basic |
| itsfp011.rpf | Polynomial trend | Basic |
| itsfp013.rpf | Harmonic regression | Basic |
| itsfp020.rpf | ACF function of randomly drawn data | Basic |
| itsfp021.rpf | Linear regression; examination of correlated residuals | Basic |
| itsfp025.rpf | Detrending by symmetric filter | Basic |
| itsfp028.rpf | Smoothing with exponential smoothing and FFT | Basic |
| itsfp030.rpf | Detrending by differencing | Basic |
| itsfp032.rpf | Classical additive decomposition | Basic |
| itsfp033.rpf | Seasonal differencing | Basic |
| itsfp038.rpf | Independence tests | Basic |
| itsfp096.rpf | BJIDENT procedure | Basic |
| itsfp099.rpf | BJIDENT procedure | Basic |
| itsfp119.rpf | Spectral density; theoretical from ARMA | Basic |
| itsfp127.rpf | Spectral density estimation | Basic |
| itsfp133.rpf | Spectral density; fitted ARMA model | Basic |
| itsfp143.rpf | AR models; AIC, preliminary estimates by Yule-Walker | Basic |
| itsfp145.rpf | MA models; preliminary estimates | Basic |
| Itsfp148.rpf | AR models; preliminary estimates by Burg | Basic |
| Itsfp149.rpf | AR models, Burg and Yule methods | Basic |
| itsfp153.rpf | Innovations algorithm | Basic |
| itsfp157.rpf | ARMA model using Hannan-Rissanen | Basic |
| itsfp163.rpf | AR(1), maximum likelihood | Basic |
| itsfp164.rpf | ARMA(1,1), maximum likelihood | Basic |
| itsfp167.rpf | ARMA model; forecasting | Basic |
| itsfp171.rpf | FPE criterion | Intermediate |
| itsfp174.rpf | AIC/BIC criteria | Basic |
| itsfp181.rpf | ARIMA model | Basic |
| itsfp189.rpf | Seasonal ARIMA model | Basic |
| itsfp193.rpf | ARMA model | Basic |
| itsfp195.rpf | Unit root tests | Basic |
| itsfp197.rpf | Unit root tests for MA | Basic |
| itsfp202.rpf | ARIMA model; forecasting | Basic |
| itsfp206.rpf | Seasonal ARIMA model | Basic |
| itsfp210.rpf | Seasonal ARIMA model | Basic |
| itsfp215.rpf | GLS with ARMA error process | Basic |
| itsfp216.rpf | GLS with ARMA error process | Basic |
| itsfp217.rpf | Intervention model | Basic |
| itsfp225.rpf | Cross correlations | Basic |
| itsfp228.rpf | Cross correlations | Basic |
| itsfp237.rpf | Transfer function model - identification | Basic |
| itsfp238.rpf | Transfer function model | Basic |
| itsfp248.rpf | VAR; Yule-Walker estimation | Basic |
| itsfp249.rpf | VAR; Yule-Walker estimation | Basic |
| itsfp251.rpf | VAR; Yule-Walker, ARMA, forecasting | Basic |
| itsfp253.rpf | VAR; Yule-Walker, ARMA, forecasting | Basic |
| itsfp281.rpf | State space (UCM) model | Advanced |
| itsfp291.rpf | EM algorithm for missing values | Intermediate |
| itsfp306.rpf | Dynamic model for count data | Advanced |
| itsfp324.rpf | Exponential smoothing | Basic |
| itsfp327.rpf | Exponential smoothing | Basic |
| itsfp335.rpf | Transfer function model | Basic |
| itsfp338.rpf | Transfer function model | Basic |
| itsfp341.rpf | Intervention model | Basic |
| itsfp351.rpf | ARCH | Basic |
| itsfp353.rpf | GARCH model | Basic |
| itsfp356.rpf | ARMA-GARCH model | Basic |
| itsfp363.rpf | Fractional integration | Advanced |
