Time Series books


No cake for spunky
I have a decent background in univariate time series. Now I am trying to learn multivariate approaches. Does anyone have a suggestion on books to introduce one to multivariate approaches such as vector autoregressive and vector error correction models?


Active Member
The following book contains concise and efficient summary of VAR but nothing too detailed. In general, the book is a useful complement to a typical time series book since it discusses regimes-switching models, Bayesian methods for stochastic processes, etc.

Lai & Xing (2008). Statistical Models and Methods for Financial Markets.
Last edited:


No cake for spunky
Thanks staassis. I doubt we will get many replies. Aside from yourself the only poster I know who is interested in time series is vinux and I have not seen him in a long time.