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Psychedelia
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Posts: 4
Joined: August 21st, 2005, 7:47 pm

!!!Time Series Analysis Help Seeked!!!

November 23rd, 2006, 9:52 pm

Hello everyone,is anyone out there willing to help me with Time Series Analysis? I am looking for some online tutoring on an absolute beginner's level of time series analysis!I am grateful for any help. Even if somebody had a reading suggestion or something like "Time series for dummies" that would explain everything step by step, I would be very happy. The book I use is Statistics and Finance by D. Ruppert, which is great, but it still leaves many of my questions unanswered. The email is: timeseriesanalysis@yahoo.comThank you in advance for all valuable suggestions and comments!!Jackie
 
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Maelo
Posts: 1243
Joined: July 28th, 2002, 3:17 am

!!!Time Series Analysis Help Seeked!!!

November 24th, 2006, 2:35 am

I do not know of a "Time Series for Dummies" book, but the following books were very useful for me:1. Applied Econometric Time Series, 2nd Edition by Walter Enders 2. Introduction to Time Series and Forecasting by Peter J. Brockwell and Richard A. Davis .M
 
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csa
Posts: 297
Joined: February 21st, 2003, 3:16 am

!!!Time Series Analysis Help Seeked!!!

November 24th, 2006, 3:48 am

Which topics in TS do you need help with? The notes on-line that I have found are not comprehensive and seem to cover certain topics. In my opinion, the best TSA book is Hamilton but that is not the easiest read for a beginner. Do you need it for an exam or to perform tests on data? If you need it to perform tests on data, you can use E-views (the manual is very helpful too) and it can perform a lot of TS functions (MA, AR, Unit Roots, GARCH, VECM, etc.).
 
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Psychedelia
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Posts: 4
Joined: August 21st, 2005, 7:47 pm

!!!Time Series Analysis Help Seeked!!!

November 24th, 2006, 3:49 pm

Thank you for your answers! The first two books might definitely be something for me. Hamilton is too advanced (at least for now). I would like to get a deeper understanding for time series analysis and yes I also have to complete an exam. Often, I am afraid, it is simply my rather weak mathematical skills that prevent me from grasping certain things. Like, if someone states that the random walk model is just a special case of an AR(1)-model and then writes down the general solution to the random walk model, I would like to be able to understand how the solution is reached (what I have to calculate). So here it is clearly a math problem.But in general, I would like to be able to really understand the concepts and what they can be applied for. In the course I am taking, the concepts are simply presented, but no application possibilities are mentioned. So, basically, they just throw a ARIMA Model at me and I have no clue what it means, nor what it can be used for. That's why I said, I'd like to get some tutoring or a book that explains the concepts from a more applied perspective. I am particularly interested in applications for finance topics. Is the E-views manual available for free somewhere? Let me ask some beginner's questions. Why does one use autoregressive models in finance? Is it to look at the past in order to make forecasts and if so, are they useful ingeneral or just some concepts due to the lack of better ones? What's the difference between an autoregressive process and autocovariance? What does the autocovariance function tell me?Thank you very much!
 
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PeteJ
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Joined: January 3rd, 2003, 12:06 pm

!!!Time Series Analysis Help Seeked!!!

November 28th, 2006, 7:23 am

One place you might wanna look at is EconPhD Lecture notes. They have a collection of lecture notes by various professors on various subjects. There are a few on TSA and some on financial econometrics as well. They may not be beginner level, though
 
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DavidJN
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Joined: July 14th, 2002, 3:00 am

!!!Time Series Analysis Help Seeked!!!

November 28th, 2006, 12:39 pm

I have long considered "Econometric Models and Economic Forecasts" by Pindyck and Rubinfeld to be especially good at time series analysis. There is also a supplemental handbook which uses solves the examples in the text using the TSP software package.
 
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UnderTheRadar
Posts: 36
Joined: October 16th, 2006, 1:05 pm

!!!Time Series Analysis Help Seeked!!!

November 29th, 2006, 12:16 pm

For a really basic undergrad text try "Undergraduate Econometrics" by R. Carter Hill, William Griffiths and George Judge. It's very easy to read. After that, try "Basic Econometrics" by Damodar Gujarati and the Pindyck and Rubinfeld texts.
 
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Psychedelia
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Joined: August 21st, 2005, 7:47 pm

!!!Time Series Analysis Help Seeked!!!

November 30th, 2006, 2:48 pm

Thanks to everyone for trying to help! @Pete: That's a great page, indeed! Thanks a lot!
 
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doubleslit
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Joined: February 20th, 2007, 4:53 am

!!!Time Series Analysis Help Seeked!!!

February 24th, 2009, 1:16 am

The Analysis of Time Series - Chris Chatfield
 
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rmeenaks
Posts: 186
Joined: May 1st, 2006, 2:31 pm

!!!Time Series Analysis Help Seeked!!!

February 24th, 2009, 10:28 am

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