Tme Series Regression Book Recommendation

[lancearmstrong1313]

Hello all,

I'm wondering if anybody could reccomend any time series regression books? I'm more interested in the application rather than the theory and if computer code examples are given I'd prefer SAS rather than R.

Specfically, I'm looking for a book that will start from ground zero and thoroughly explain how to run a time series regression from start to finish:

• how to read/interpret charts and graphs
• how to read interpret ACF/PACF charts
• how to look for trend or seasonality
• how to choose the best type of model
• how to forecast
• how to forecast using multiple variables as the explanatory variables (that, is, not just time but some other variables as well)

Any recommendations would be greatly appreciated


Or does anybody have any sort of suggestion on where I can learn time series? I want to really learn this statistical method but I just need to know where to find some resource that will thoroughly explain things starting from scratch (if it even exists)

[lancearmstrong1313]

Thanks - I will definitely check these out.

Any suggestions about time series books that discuss using multiple explanatory variables? Like multiple regression but for time series? For example, if I want to predict sales and I have data on time, price, marketing...and want to use all these variables to predict sales - any books that talk about this type of time series methods? Do the books you recommended above do so?

[Eyecatcher]

Looking at all your posts about time-series modelling; I see you are really interested in forecasting, me too . I don't know if such a book exists, at least i didn't find one in the past 8 months (the period since i'm highly interested in time-series analysis). Perhaps you could ask VINUX, he seems to know quite a bit about time-series. My personal education was reading a lot of stuff that is present on the web. For instance, DUKE University has a lot examples on their website, but also Chatfield_time-series book helped out a bit in the beginning (and I still feel like a newbie

ARIMAX models will help you with using extra explanatory variables. I commented on one of your questions, how such a model looks like in formula form. You ask for a practical guide line; just try over and over again, and try to understand what is happening. Forecasting is an art as much as a science :P

[bugman]

These are two that I would recommend. Even if you dont use R, the second book should be very helpful. I aslo agree with eyecatchers recommendation of the Chatfield text.

http://www.amazon.com/The-Analysis-T.../dp/1584883170


http://www.stat.pitt.edu/stoffer/tsa3/