Introductory Time Series with R (Use R) Review

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(More customer reviews)This is a cracking book on applying R to time series analysis. The best parts of the book are all of the worked examples, the accompanying data sets and several different ways to calculate seasonality.
The book is better than most on time series, because it does not neglect the de-trending process needed to get stationery residuals. If you use just the lm() command in R to do this before, then the real gem in this book is the advice to use the gls() command from the nlme library instead (to get the confidence intervals right).
Overall, a very good book that is applied to R but has enough mathematical backing for the techniques presented. However, this is a book about applying time series analysis in R. If you seek a more algebraic treatment, then this is not the book I'm afraid, but it would be a great supplement!

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Applied Econometric Times Series (Wiley Series in Probability and Statistics) Review

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(More customer reviews)I bought Walter Enders book several years ago, when I was an undergraduate student. It's a nice manual. Perhaps you won't see the statistical demonstration of the unit-root (Dickey-Fuller) test, but you will understand why it doesn't follow a standard probability distribution and you'll know how to use it. It's the same idea with Perron's unit-root with structural change test. The author introduces the reader to the main topics of interest in the time series field; ARIMA, VAR, ARCH, unit roots, cointegration, and distinction between deterministic trends and stochastic trends. This work is done through an understandable and fun text. You will enjoy reading the book. Besides that, the author illustrates each topic with an economic example perfectly presented and, in general, very interesting (business cycles, PPP, foreign exchange Market efficiency, Unit roots in GNP for example). I particularly enjoyed the unit root and the perron's test chapters. I used them a lot in my final work in college. Here, you will have the simplest explanation of ARCH processes. As someone else said, this is only an introductory book (for applied econometricians it should be seen as an excellent and very intuitive cookbook); if you are interested in time series, you can begin here, but you should then reading more advanced books, such as Hamilton's Time Series Analysis. A great combination of introductory manuals can be achieved if you have Johnston and Dinardo "Econometric models".

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Time Series: Theory and Methods (Springer Series in Statistics) Review

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(More customer reviews)Of course, this an advanced textbook on Time Series. The reader is supposed to have been introduced to the subject, and certainly is looking for a more theoretical treatment.
If you want to learn time series for the first time, this is not the book.
If you want a friendly book, do not see springer's publications.
However, if you want a fair rigourous book, you have found it.
I think the exercises are illustrative, but sometimes long.

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