What are some time series texts that you would recommend to start studying? Some easy textbooks/lecture notes or step by step for undergraduate level.

I'm not so good at math/statistics.

  • 2
    $\begingroup$ This question would benefit from some elaboration. How much math or statistics do you know? Are you an undergraduate or graduate? What are you learning time series for? This will help people to give you a more honed in answer. $\endgroup$
    – Kitsune Cavalry
    Nov 26 '20 at 22:03
  • $\begingroup$ The best book in terms of the correct balance of math/intuition is this one here. Don't worry about it saying 'finance' in the title; it is mostly a pure time series book with some interesting applications.cambridge.org/core/books/introductory-econometrics-for-finance/… He even has a series on YouTube - which follows it chapter by chapter.youtube.com/channel/UC0YkHcC4SUgxrpQ6WFPN-Fw/videos $\endgroup$
    – EB3112
    Nov 26 '20 at 22:27
  • $\begingroup$ you might also be interested in the following free e-book on introductory macro-econometrics which is very user friendly for undergraduates: timberlake.co.uk/macroeconometrics.html $\endgroup$
    – Andrew M
    Nov 27 '20 at 20:50

The book I currently use for my time series class is "Time Series Analysis and Its Applications With R Examples" by Shumway and Stoffer, 4th edition. It's served me fine, and gives lots of example codes that you can plug into R and see what happens with example data.


For my recent macro class, among all the recommended texts that we were given, myself and most of my classmates defaulted to Rob Hyndman's "Forecasting: Principles and Practice"--free online textbook, very clear explanations of all the basics of time series analysis, concrete examples in R, and a great supporting R package(forecast) that is widely used and worth learning alongside the book. Highly recommended.


The following book on Forecasting might help you. It is based on R software.

Title Forecasting models – an overview with the help of R software : Time series - Past ,Present and Future

ISBN: 9781081552800

The following contents are included

  1. ARIMA
  2. GARCH
  3. Vector Auto Regressive Model (VAR)
  4. Spectral Analysis
  5. Kalman Filtering
  6. Neural Network models

Introduction to Econometrics by James H. Stock and Mark Watson has very beginner friendly chapters on time series analysis.


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