Time Series Question

noetsi

Fortran must die
#1
Can you run time series regression when various variables are integrated of a different order? Including in those cases when the variables are not cointegrated?

I have read various authors come to totally different opinions on this topic. :p
 

noetsi

Fortran must die
#2
While I am at it does anyone know of a good time series regression book that is not heavy on theory and matrices? I know plenty that are heavy on both, none like this... :p
 

hlsmith

Not a robit
#3
I am planning on taking an applied time series course in the spring. Then I will know what you are writing about and i will pass any relevant information along. But I think it will be fairly intro.
 

ondansetron

TS Contributor
#4
While I am at it does anyone know of a good time series regression book that is not heavy on theory and matrices? I know plenty that are heavy on both, none like this... :p
Econometrics by Wooldridge had good time series chapters in it. I don't remember a lot because I had to read it, didn't have any homework/assignments/projects on it and then had to do some minor derivations or computations on a test for questions like "show that the variance of ... is independent of time and therefore..." but that was a while ago and never used it since.

https://www.amazon.com/Introductory...ry+econometrics+a+modern+approach+4th+edition

New it's really cheap if you can check out a copy from the library before you buy it that might be worth while. It was a good econ/financial application of stats book, though even for the other areas.
 
#6
While I am at it does anyone know of a good time series regression book that is not heavy on theory and matrices? I know plenty that are heavy on both, none like this... :p
I'm not a big time series man but I always thought Chatfield was supposed to be good and clear - prob loads of books I dont know. There seems to be an old edition of Chatfield here https://archive.org/stream/Chatfiel...Chatfield C. Time-series forecasting_djvu.txt - maybe you can see if it suits you and buy the latest edition (at least editon 6)