- Thread starter davidbinyam
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However, without experience with a simplier statistics topic and without a teacher its a tough bill. Its not that you can't learn it on your own its that it is essentially the 3rd topic in a series of proficiencies:

[0) probability might be inserted here]

1) general statistics

2) linear regression

3) time series

You have to start at the top of the chain and work down even learning on your own to be doing anything better than hacking at it.

I personally heve read through its entity only Mills' Econometric Analysis of Financial Time Series. I wouldn't recommend it! Chatfield's and Time Series Analysis - With Applications in R.

Mostly because of his second book,I'll take a chance to Kirchgaessner's Introduction to Modern Time Series Analysis.

For Regression there;s no reason not to get the FREE book

> http://cran.r-project.org/doc/contrib/Faraway-PRA.pdf

Alternatively Ruey Tsay puts up his course notes online:

http://faculty.chicagogsb.edu/ruey.tsay/teaching/bs41202/sp2008/

The first is general Time Series and the second is very much focussed on financial time series.

Hope this helps you out.

Offtopic.

Hehe I can't say that I honestly recommend Hamilton either. I think my instructors course notes helped more at that point than Hamilton. Its just the only one I have because it is not really my area. My officemate did wavelets this semester and I was like "no thanks....". Though I just got Elements of Statistical Learning by Hastie (not an intro text and not really about time series), and I been reading through it this week to get a sense of whats there, basically like a book instead of a textbook. Anyway he passes kernal methods and I thought "these are kind of cool". So who knows...

Mostly though I like statistical design topics. I am so jealous of these graduate students in agriculture, pyschology, etc that are so good at certain applied designs. That is my goal: to match their knowledge of common designs. I almost wish I hadn't got a contract to do research this summer so I could drive at it more directly.

The instructor here with the most experience in applied GLM designs says a stat student interested in those things should focus on breadth of experience rather than intense expertise in one design topic.

I personally heve read through its entity only Mills' Econometric Analysis of Financial Time Series. I wouldn't recommend it! Chatfield's and Time Series Analysis - With Applications in R.

Mostly because of his second book,I'll take a chance to Kirchgaessner's Introduction to Modern Time Series Analysis.

For Regression there;s no reason not to get the FREE book

> http://cran.r-project.org/doc/contrib/Faraway-PRA.pdf

However, without experience with a simplier statistics topic and without a teacher its a tough bill. Its not that you can't learn it on your own its that it is essentially the 3rd topic in a series of proficiencies:

[0) probability might be inserted here]

1) general statistics

2) linear regression

3) time series

You have to start at the top of the chain and work down even learning on your own to be doing anything better than hacking at it.