Quant analytics: Decent document on Introduction to Time Series PDF
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Abstract: This note introduces the concept of time series data. First we give somebasic deﬁnitions and discuss the diﬀerences between cross-sectional data (analyzed inEconometrics 1) and time series data. We then say a few words on time dependence,which is a characteristic feature of time series; and illustrate how the basic resultsfor the linear regression model are modiﬁed in a dynamic context, where the laggeddependent variable is introduced as a regressor. Finally, we discuss the problem ofserial dependence in the error term.