Module Texts


There are many excellent textbooks, of varying degrees of technical sophistication, that cover some or all of the material of this module. These include:

J. Hamilton, Time Series Analysis

G.S. Maddala and I.M. Kim, Unit Roots, Cointegration, and Structural Change

A. Banerjee, J. Dolado, J.W. Galbraith and D.F. Hendry, Cointegration, Error-correction, and the Econometric Analysis of Nonstationary Data

T.C. Mills, Time Series Techniques for Economists

K. Patterson, An Introduction to Applied Econometrics: A Time Series Approach

T.C. Mills, The Econometric Modelling of Financial Time Series

J. Stewart, Econometrics

The module does not follow any one of these texts, but students may be referred to appropriate ones as the need for clarification arises.