books?
For multivariate time series analysis i recommend the following 1. (New) Introduction to multiple time series by Helmut Lutkepohl (springer verlag). This book is really the multiple time serie bible 2. Analysis of financial time series, second edition, by Ruey Tsay (wiley) 3. Modeling financial time series with Splus, 2nd edition by Eric Zivot and Jiahui wang (springer) **************************************************************** * Eric Zivot * * Associate Professor phone: 206-543-6715 * * Department of Economics fax: 206-685-7477 * * Box 353330 email: ezivot at u.washington.edu * * University of Washington * * Seattle, WA 98195-3330 * * * * www: http://faculty.washington.edu/ezivot * ****************************************************************
On Sun, 20 Jan 2008, Joe W. Byers wrote:
Max Nevill wrote:
Hi Everyone! I do some forecasts for my job and recently have started to realize that I may be able to make better forecasts if I look at multivariate analysis rather than fit several univariate models. Unfortunately in undergrad I only took one course in univarate analysis. I was wondering what some good books are on the subject of multivariate time series analysis? Especially any that use R over other languages. Thanks, -Max
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My base references for time series are Statistical Analysis of Financial Data in S-Plus by Carmona Time Series Analysis by Hamilton and Applied Econometric Time Series by Enders I also use several econometric texts Judge, etal's series Theory and Practice of Econometrics, Introduction to the ditto, and Learning and Practicing Econometrics Greene's Econometric Analysis. A side note, my wife and I are building a bibliography of our personal libraries of books and papers on www.financialseal.com under analytics and research. It is in the infancy stages, but we are trying to update it regularly. These and other financial and statistical references will be there. The connection is slow, so patience is required. Joe
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