I am a masters student studying economics. The program that I am attending is extremely quantitative with a heavy focus on econometrics. I am looking for a text on time series analysis. I really want something applied but rigorous enough to be considered for an introductory PhD course. I want a text that will be useful in the long run…a reference that I will continue to use later in my career as either an economic consultant or PhD student. Thanks for the help.
Solved – Best graduate level text for econometric time series
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I believe Graham Cookson's answer to a similar question would be of assistance. Basically, he recommends Gelman and Hill's Data Analysis Using Regression and Multilevel/Hierarchical Models. According to Mr. Cookson, the book "covers basic regression, multilevel regression, and Bayesian methods in a clear and intuitive way" and "would be good for any scientist with a basic background in statistics".
I do not think I will be able to give regular time investment to continue learning data analysis
I don't think Casella & Berger is a place to learn data much in the way of data analysis. It's a place to learn some of the tools of statistical theory.
My experience so far telling me to be a statistican one needs to bear with a lot of tedious computation involving various distributions(Weibull, Cauchy, t, F...).
I've spent a lot of time as a statistician doing data analysis. It rarely (almost never) involves me doing tedious calculation. It sometimes involves a little simple algebra, but the common problems are usually solved and I don't need to expend any effort on replicating that each time.
The computer does all the tedious calculation.
If I am in a situation where I'm not prepared to assume a reasonably standard case (e.g. not prepared to use a GLM), I generally don't have enough information to assume any other distribution either, so the question of the calculations in LRT is usually moot (I can do them when I need to, they just either tend to be already solved or come up so rarely that it's an interesting diversion).
I tend to do a lot of simulation; I also frequently try to use resampling in some form either alongside or in place of parametric assumptions.
Will I need to spend 20hr+ per week on it like I used to be?
It depends on what you want to be able to do and how soon you want to get good at it.
Data analysis is a skill, and it takes practice and a large base of knowledge. You'll have some of the knowledge you need already.
If you want to be a good practitioner at a wide variety of things, it will take a lot of time - but to my mind it's a lot more fun than the algebra and such of doing Casella and Berger exercises.
Some of the skills I built up on say regression problems are helpful with time series, say -- but a lot of new skills are needed. So learning to interpret residual plots and QQ plots is handy, but they don't tell me how much I need to worry about a little bump in a PACF plot and don't give me tools like the use of one-step-ahead prediction errors.
So for example, I don't need to expend effort figuring out how to do reasonably ML for typical gamma or weibull models, because they're standard enough to be solved problems that have already been largely put into a convenient form.
If you come to do research, you'll need a lot more of the skills you pick up in places like Casella & Berger (but even with those kind of skills, you should also read more than one book).
Some suggested things:
You should definitely build up some regression skills, even if you do nothing else.
There are a number of quite good books, but perhaps Draper & Smith Applied Regression Analysis plus Fox and Weisberg An R Companion to Applied Regression; I'd also suggest you consider following with Harrell's Regression Modelling Strategies
(You could substitute any number of good books for Draper and Smith - find one or two that suit you.)
The second book has a number of online additional chapters that are very much worth reading (and its own R-package)
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A good second serving would be Venables & Ripley's Modern Applied Statistics with S.
That's some grounding in a fairly broad swathe of ideas.
It may turn out that you need some more basic material in some topics (I don't know your background).
Then you'd need to start thinking about what areas of statistics you want/need -- Bayesian stats, time series, multivariate analysis, etc etc
Best Answer
I recommend two texts.
Note, Stoffer et al. has a sequel for nonlinear analysis. I haven't read this book yet, can't comment on its merits.
There's one more text: Greene, Econometric Analysis, 7th Edition. It's a standard text in econometrics. It has quite a bit of theory for time series too. One advantage of this text is that all examples are from economics, and that time series chapters can be seen in the context of the body of knowledge of econometrics together with cross-sectional and panel analysis. It can be beneficial in some cases to look at time series this way. It also has many examples, but they're not code examples. If you're specifically interested in time-series, I would not pick this text.