Looking for some good econometrics textbook on time series. Something on graduate/postgraduate level and would include both theory and application. Any suggestions?

(I already checked the Books for self-studying time series analysis? thread, but I need exactly the opposite, not book for beginners, but something that is very up to date, especially something that focuses on unit roots or hysteresis)

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    $\begingroup$ Possible duplicate of this. There are so many good answers to that question. $\endgroup$ – Richard Hardy Sep 30 '15 at 14:45
  • $\begingroup$ I think you have to be much more specific. Theoretical or applied orientation? What mathematical level assumed? What statistical prerequisites? Focus on science/engineering/economics/business/astrology? And so forth. $\endgroup$ – Nick Cox Sep 30 '15 at 14:45
  • $\begingroup$ I already checked the other thread, but I look for something advanced, it can be more technical. I already checked Time Series Analysis James D. Hamilton, because it has good reviews, and I will probably go with it, but I would appreciate some more suggestions from community, because I just want to be sure that there is no better option. $\endgroup$ – 1muflon1 Sep 30 '15 at 14:55
  • $\begingroup$ No offense, I did not intend to deprive you of extra information. Perhaps you could edit your question to provide the link to the other one and say that the other one is different and does not satisfy your needs. $\endgroup$ – Richard Hardy Sep 30 '15 at 14:57
  • $\begingroup$ point taken, already edited it sorry. $\endgroup$ – 1muflon1 Sep 30 '15 at 15:00

I enjoyed Zivot's "Modeling Financial Time Series with S-PLUS" that is quite accessible in the light of its advanced content. Zivot is soon to release a new book "Modeling Financial Time Series with R" which I am very much looking forward to.

For multivariate time series analysis, you may check out Lütkepohl's "New Introduction to Multiple Time Series Analysis". It is quite thorough and clearly written.

I never liked Hamilton's "Time Series Analysis"; my time series professor also noted that it is not a book to study from, although it might serve well as a reference. He suggested trying Brockwell & Davis' "Time Series: Theory and Methods", but it might be outdated (1991).

Tsay has two books that are up to date and quite good, "Analysis of Financial Time Series" and "Multivariate Time Series Analysis: With R and Financial Applications", but they may not be an easy read for a first-timer.


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