(NOTE: I have read the topic re "books for self-studying time series analysis," this question is intended to be different in a very specific way, and I am looking for answers that would not be relevant to that topic's OP).

I very much like Hamilton's Time Series Analysis book in terms of both the breadth of coverage and the depth (i.e., not too shallow not too deep relative to my personal taste and training). Also, I am in the economics / investment management field so I like the slant on economic topics. What I DON'T like is that it's not available on e-book - a lot of my reading time is while commuting, etc, and it's hard to haul around a book that's bulkier than my laptop. I have inquired and there seems to be no intention of bringing it out on Kindle / Google Books / etc.

So, my question is: Can someone here who is familiar with Hamilton and "similar" texts recommend something that has similar depth and scope, but is available on Kindle or Google Books (and if it's on Kindle, with the additional requirement that the equations actually render properly). Of course being written less than 21 years ago might also help, but I'll settle for older books all things being equal.


Nothing's like Hamilton's book :)

I recommend Time Series Analysis and Its Applications: With R Examples. It's not from econometrics perspective though. The plus is that it comes with R package called astsa, which is a great piece of software in itself.

If you're in academia then free PDF is available through SpringerLink. It also has a sequel non nonlinear analysis.

Finally, I have electronic copy of Hamilton's. Don't ask me where I got it :)

  • $\begingroup$ Well the price is right on that Shumway & Stoffer book, will check it out. Regarding the "electronic copy of Hamilton," i am reminded of this $\endgroup$ – tungsten_carbide Jul 27 '15 at 2:43

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