This book contains the most important approaches to analyze time series which may be stationary or nonstationary. It starts with modeling and forecasting univariate time series and then presents Granger causality tests and vector autoregressive models for multiple stationary time series. It also...

Introduction and Basics -- Univariate Stationary Processes -- Granger Causality -- Vector Autoregressive Processes -- Nonstationary Processes -- Cointegration -- Nonstationary Panel Data -- Autoregressive Conditional Heteroscedasticity