Texts

A good reference from an econometric viewpoint is Hamilton (1994), Time Series Analysis, Princeton University Press.

A good reference from a more statistical viewpoint is Shumway and Stoffer (2017, fourth edition), Time Series Analysis and its Applications, with R Examples, Springer.

A nice sketch is Cochrane (2005), Time Series for Macroeconomics and Finance, and the price is right ($0).

A nice introduction to Python, and much else, is Stachurski and Sargent (2017), Quantitative Economics.(e-book, web only, and again the price is right).

A broad text is Martin, Hurn, and Harris (2013), Econometric Modelling with Time Series: Specification, Estimation and Testing, Cambridge University Press.


Useful Classics Worth Encountering (Many have gone through several editions. I generally list only the earliest edition.)

Ait-Sahalia, Y. and Jacod, J. (2014), High-Frequency Financial Econometrics, Princeton University Press.

Beran, J., Feng, Y., Ghosh, S. and Kulik, R. (2013), Long-Memory Processes: Probabilistic Properties and Statistical Methods, Springer-Verlag.

Box, G.E.P. and Jenkins, G.W. (1970), Time Series Analysis, Forecasting and Control, Prentice-Hall.

Davidson, R. and MacKinnon, J. (1993), Estimation and Inference in Econometrics, Oxford University Press.

Durbin, J. and Koopman, S.J. (2001), Time Series Analysis by State Space Methods, Oxford University Press.

Efron, B. and Tibshirani, R.J.  (1993), An Introduction to the Bootstrap, Chapman and Hall.

Elliott, G., Granger, C.W.J. and Timmermann, A., eds. (2006), Handbook of Economic Forecasting, Volume 1, North-Holland.

Elliott, G., Granger, C.W.J. and Timmermann, A., eds. (2013), Handbook of Economic Forecasting, Volume 2, North-Holland.

Engle, R.F. and McFadden, D., eds. (1995), Handbook of Econometrics, Volume 4, North-Holland.

Geweke, J. (2010), Complete and Incomplete Econometric Models, Princeton University Press.

Granger, C.W.J. and Newbold, P. (1977), Forecasting Economic Time Series, Academic Press.

Granger, C.W.J. and Teräsvirta, Y. (1996), Modeling Nonlinear Economic Relationships, Oxford University Press.

Hall, P. (1992), The Bootstrap and Edgeworth Expansion, Springer Verlag.

Hammersley, J.M. and Handscomb, D.C. (1964), Monte Carlo Methods, Chapman and Hall.

Hansen, L.P. and Ait-Sahalia, A., eds. (2010), Handbook of Financial Econometrics, North-Holland.

Hansen, L.P. and Sargent, T.J. (2013), Recursive Models of Dynamic Linear Economies, Princeton University Press.

Harvey, A.C. (1989), Forecasting, Structural Time Series Models and the Kalman Filter, Cambridge University Press.

Harvey, A.C. (1993.), Time Series Models, MIT Press.

Hastie, T., Tibshirani, R. and Friedman, J. (2001), The Elements of Statistical Learning: Data Mining, Inference and Prediction, Springer-Verlag.

Herbst, E. and Schorfheide, F. (2015), Bayesian Estimation of DSGE Models, Manuscript.

Kim, C.-J. and Nelson, C.R. (1999), State-Space Models with Regime Switching, MIT Press.

Koop, G. (2004), Bayesian Econometrics, John Wiley.

Nerlove, M., Grether, D.M., Carvalho, J.L. (1979), Analysis of Economic Time Series: A Synthesis, Academic Press.

Priestley, M. (1981), Spectral analysis and Time Series, Academic Press.

Silverman, B.W. (1986), Density Estimation for Statistics and Data Analysis, Chapman and Hall.

Whittle, P. (1963), Prediction and Regulation by Linear Least Squares Methods, University of Minnesota Press.

Zellner, A. (1971), An Introduction to Bayesian Inference in Econometrics, John Wiley and Sons.