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Im an assistant professor at West Chester University, a largeish state University outside of Philadelphia. We offer a masters degree in applied statistics. Course emphasis tends to be on statistical communication, model building, diagnostics, etc mostly using lots of actual hands on data and SAS (We use a little R). The textbook we use for our regression course is Applied Regression Analysis and other Multivariable Methods by Kleinbaum, Kupper, Nizam, and Muller to give an idea of the 'rigor' of our typical courses.

Im looking to teach a course in 'applied time series'. I did this once before and used Forecasting, Time Series and Regression by Bowerman, OConnell and Koehler. It touches on Decomposition Methods, Exponential Smoothing, and then spends considerable time discussing Box-Jenkins methodology.

In general I liked the book but it didnt seem to have enough content to fill an entire course. (Half the book is spent discussing multiple regression which is a prereq for the course). So I am looking for supplementary material (or possibly another book of comparable depth/difficulty and more material). Im going to try and peruse the Topics - Time Series discussion post over the next few weeks but any other suggestions would be greatly appreciated as time series is something that is relatively new to me as well.

Thanks for your time. This webpage and growing community is an incredible and much appreciated resource!

--Scott

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Replies to This Discussion

Scott,

I am a retired professional from the financial services industry and former adjunct professor at Baruch College. One of the broadest and all-encompassing texts I have used is Analysis of Financial Time Series by Ruey S. Tsay from the Wiley series in probability & statistics. Although the focus is financial it covers a breadth of approaches adaptable to any times series.

In a somewhat different direction, Sage Publications (www.sagepub.com) publiches monographs on a number of distinct TS issues/approaches - part of their Quantitative Applications in Social Sciences Series. One or more of them may be useful in supplimenting the text you have mentioned. They are about 100 pages each and under $20.

Paul
Thanks Paul,

Ive actually got some time and book money right now so your response is perfectly, and appreciatively, timed. Ill check out both the Tsay reference as well as some of those monographs.

Best, grateful, regards,
--Scott
Good luck! Glad I could be helpful.

PS: I used to live in Delaware Valley, so I am familiar with your university. I live near Cape Cod now.

Paul
Cool, its always neat when somebody knows about West Chester. Outside of Pa I dont think we have a lot of notoriety but we're so close to Delaware that it makes sense that youve heard of us. We're actually trying to expand some contacts into some of the many banks that are situated in Delaware.

Ive got the Tsay book and have skimmed it. It looks like a great reference and I think will definitely enrich my class the next time I teach it. Again, thanks.

Appreciatively,
--Scott

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