Quant analytics: Decent document on Introduction to Time Series PDF
NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!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.
http://www.econ.ku.dk/metrics/Econometrics2_04_II/LectureNotes/timeseries.pdf
