Econometric Modelling with Time Series: Specification, Estimation and Testing

Excellent! I have a handful of "go-to" books in my collection and this book has become one of them. Highly recommend it for any graduate student interested in advanced time series topics.

indeed, one can agree with other commentators that this piece represents a unique summary of relevant material necessary for econometric analysis; I specially appreciate the nice introduction into ML and the theoretical fundamentals necessary to understand how it can be applied; the various examples and provided codes are outstanding and should become a benchmark for future publications on econometrics; well done, congratulations;

Excellent self-contained book of Time Series Econometrics. Though it says Time-Series, the first chapters about the likelihood approach to econometrics are useful for cross-section and panel data as well. The best about the book is the likelihood approach which allows authors to encompass all topics in the same framework. This job has been marvellously done. Second to none are the uncountable real-life examples which also include the code in R, MATLAB and GAUSS. Just fantastic!. The book has balanced combination of rigorous theory and practice. It also includes some useful appendixes with some mathematical results. This makes the book self-contained. All in all, the book is thorough, updated and didactic. It is NOT an introductory book in Econometrics. A student should have read something about econometrics beforehand. It's ideal for master or PhD level in Economics or Finance. I'm using it at PhD Economics in UWA, Aus.

Excellent book. Good for those who want to programme their way out of econometric analysis.

Well written, Easy to understand