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)
Best Answer
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 He suggested trying Brockwell & Davis' "Time Series: Theory and Methods", but it might be outdated (1991).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.