Most attempts to explain the sources of macroeconomic fluctuations attribute the variability in output and prices to only a few sources, sometimes to only one. While a significant amount of theoretical research has been undertaken on the business cycle, relatively little empirical work has been conducted that attempts to measure the qualitative importance of various sources of macroeconomic variability.
As I have moved into research, I have heard a lot of book recommendations. For now, I will collect them here. I'll add my reviews on as I read them. This book is my favorite book on time series. It discusses both the frequency domain and the time domain, it has a chapter on multivariate time series, and it has a few sections at the end on long memory.
I have spent a long time with this book especially the two aforementioned chapters. Priestley's Spectral Analysis and Time Series. Volumes I and II in 1 book. Probability and Mathematical Statistics: This book covers both univariate time series Volume 1 and multivariate time series Volume 2.
I believe it provides the best coverage of cross-spectral densities and other multivariate frequency domain concepts. It does not cover long memory time series, probably because the book predates them.
Sadly, the book is out of print. Bloomfield's Fourier Analysis of Time Series: This book is one of the classics of time series analysis. It is not as thorough as Priestley's book abovebut it does mention the analysis of multiple time series.
Yet another classic book about time series in the frequency domain.
Hamilton's Time Series Analysis: This was the first graduate-level econometrics book I encountered. It covers a large number of topics thoroughly, though it does ignore the frequency domain entirely.
This book, by Peter Robsinon one of the big names in long memory time series researchprovides a good review of long memory time series and then reproduces a number of the "classic" papers in long memory time sereis by Robinson himself and by others.
This book is by E. Hannan, the author of many time series papers in the 's. Handbook of Time Series Analysis: Recent Theoretical Developments and Applications: This book is a compilation of articles about time series. It first caught my interest because it included a recent article by Manfred Deistler about signal extraction and factor analysis.
I really like the idea of handbooks that summarize the latest knowledge in specialized fields, and there are many of them out there.
Another more general book on time series by Clive Granger. It is also out of print. This is the book I used in a course on Panel Data Econometrics. It is a bit intimidating at first, but it is thorough. This book is definitely written from the econometrics as opposed to statistics perspective.
This book is about longitudinal data from the statistics side.
This book focuses on linear models you will need other books, such as Models for Discrete Longitudinal Datafor other modelsbut has some nice examples. While Wooldridge like many economists focuses more on fixed effects models, this book focuses more on ranodm effects models.
This book is more specific to R or S, S-Plus. I used a chapter to figure out the many diagnostic plots that you should use after fitting a linear mixed effects model.Title Page: Acknowledgement: Table of Contents: Abstract: Chapter 1.
Econometric forecasting Chapter 2. Inflationary trends Chapter 3. Short-term price movements. For short-term forecasting for one to three months ahead, His current interests are in the area of time series analysis and econometrics.
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