Time series

[Michsund]

Anyone know any good books for time series analysis at the graduate level?

 

[Qui-Gon]

Hamilton and Tsay are two standard ones.

 

[m_s]

Anyone know any good books for time series analysis at the graduate level?

A Guide to Modern Econometrics, by Marno Verbeek, 5th Edition

 

[m_s]

A Guide to Modern Econometrics, by Marno Verbeek, 5th Edition

Applied Econometric Time Series, by Walter Enders, 3rd ed

 

[Michsund]

Thanks for the replies. I went over the basics at cmu but I think I wanna go more in depth my self. I look into these!

 

[Qui-Gon]

Thanks for the replies. I went over the basics at cmu but I think I wanna go more in depth my self. I look into these!

What text did you guys use at cmu or was it just lecture notes?

 

[Michsund]

What text did you guys use at cmu or was it just lecture notes?

More lecture based to be honest I think the book that was recommended was intro to time series and forecasting by Brock well and Davis

 

[Michsund]

Tsay book looks pretty good might go with that

 

[Qui-Gon]

Tsay book looks pretty good might go with that

He has some other more advanced time series texts listed here that you may also want to check out: Teaching

 

[Michsund]

He has some other more advanced time series texts listed here that you may also want to check out: Teaching

Thanks

 

[Onegin]

Tsay Analysis of FInancial time Series and Tsay An introduction of financial time series in R are very similar books.

I ended up using both, with peeks at Brockwell Davis to supplement lectures.

 

[Michsund]

Anyone have experience with this book? It looks interesting from the content.

Multivariate Time Series Analysis and Applications

<p><b>An essential guide on high dimensional multivariate time series including all the latest topics from one of the leading experts in the field</b></p> <p>Following the highly successful and much lauded book, <i>Time Series Analysis—Univariate and Multivariate Methods</i>, this new work by...

www.wiley.com