Here are two paragraphs that were lost from the 2nd printing at final stages.

Note that we use some basic TeX notation, e.g., "X_t" is "X" subscripted "t", and so forth

Chapter 1, page 31. The following paragraph should appear at the end of Chapter 1, p31:

The field continues to develop and flourish. As we approach the new millenium, we see exciting developments in new fields of application, and increasing sophistication in modelling developments and advanced computation. Interested readers might explore some recent studies in Aguilar and West (1998a,b), Aguilar, Huerta, Prado and West (1999), Cooper and Harrison (1997), and Prado, Krystal and West (1999), for example. Readers interested in contacting at least some of the more recently documented developments, publications and software, can explore the resources and links on the author web site indicated in the Preface.

Chapter 3

• p92, exercise 6, line -1: the statement C_t^{-1} \to 0 and is incorrect and should be whited out.

Chapter 10

• p362, Table 10.4, second line under "Forecast:" section
  
  In the equation for Q_t the term S_{t-1} should be k_t S_{t-1}

Chapter 16

• p601, first bulleted item, second line.
  
  The equation for E(\Phi) should be E(\Phi)= S^{-1} (n+q-1)/n

Chapter 17, page 651. The following paragraph should appear at the end of Chapter 17, p 651:

As an aside, note the more general Jordan forms for G matrices of non-observable models that appear in the proof of Theorem 5.2 (the requisite generalisations of the linear algebraic theory can be found, for example, in Theorem 8.5 of Nerig (1969).) In such cases any system matrix with one eigenvalue e of multiplicity n can be reduced to a form diag(J_{r_1}(e),...,J_{r_m}(e)) with r_1+...+r_m=n and where each J_{r_i}(e) matrix is a standard Jordan block. This might even be the diagonal case where each r_i=1 when G=eI. This completes the general theory but is of little practical interest.