When studying time series analysis, especially with a focus on autocorrelation, unit root tests (such as the Augmented Dickey-Fuller, ADF, test), and cointegration, the following books and resources are highly recommended for their clarity, coverage, and practical examples.
Below each recommendation is a brief explanation of what you will find in the book relevant to your specific interests.
Introductory and Practical Books
### 1. **Introductory Time Series with R**
- **Authors:** Paul S.P. Cowpertwait and Andrew V. Metcalfe
- **Highlights:**
- Introductory coverage on time series data.
- Practical approach using R.
- Chapters on correlation, autocorrelation, stationary and non-stationary models, and cointegration.
- Accessible to those new to R and time series[1][2][3].
### 2. **Time Series Analysis: Forecasting and Control**
- **Authors:** George E. P. Box, Gwilym M. Jenkins, Gregory C. Reinsel, Greta M. Ljung
- **Highlights:**
- A classic, comprehensive introduction and reference.
- Covers autocorrelation, unit root tests, ARIMA models, and methods for modeling/testing time series.
- Fifth edition includes expanded material on unit root testing and cointegration[2].
### 3. **Introduction to Time Series Analysis and Forecasting**
- **Authors:** Douglas C. Montgomery, Cheryl L. Jennings, Murat Kulahci
- **Highlights:**
- Hands-on textbook with exercises and data sets.
- Detailed sections on autocorrelation, ACF/PACF, model adequacy checks, and the Durbin-Watson test.
- Step-by-step on using time series regression and diagnosing autocorrelation in practice[4][5].
## Intermediate and Advanced Texts
### 4. **Time Series Analysis**
- **Author:** James D. Hamilton
- **Highlights:**
- A rigorous, mathematically oriented treatment.
- Deep coverage of autocorrelation, unit root theory, ADF tests, and cointegration.
- Frequently cited for its theory and foundational methods.
- Includes worked examples and discussion of stationary vs. non-stationary processes[2][6].
### 5. **Applied Econometric Time Series**
- **Author:** Walter Enders
- **Highlights:**
- Covers practical aspects of time series for econometrics.
- Explains autocorrelation, ADF tests, and cointegration clearly with real data examples.
- Good mix of intuition and theory for those interested in economic and financial data[6].
### 6. **Unit Roots, Cointegration, and Structural Change**
- **Authors:** G. S. Maddala and In-Moo Kim
- **Highlights:**
- A thorough resource on unit root testing (ADF, Phillips-Perron), cointegration (Engle-Granger, Johansen’s tests).
- Detailed coverage of the theory and practical implementation.
- Advanced level[6].
## Focused Books and Supplementary Resources
### 7. **Analysis of Integrated and Cointegrated Time Series with R**
- **Authors:** Bernhard Pfaff
- **Highlights:**
- Strong R focus; combines theory with immediate hands-on implementation.
- Intro to unit root processes, ADF test, and cointegration (including Engle-Granger and Johansen’s methods)[7].
### 8. **Time Series, Unit Roots, and Cointegration**
- **Author:** Phoebus J. Dhrymes
- **Highlights:**
- Integrates theory and mathematical detail for high-level analysis.
- Excellent reference for graduate-level or research work on the subject[8].
### 9. **Nonstationary Time Series Analysis and Cointegration**
- **Editor:** Colin P. Hargreaves
- **Highlights:**
- Collection of major developments in non-stationary time series and cointegration.
- Good for researchers who want advanced insights and theoretical depth[9][10].
## Coverage Table
| Book Title | Autocorrelation | Unit Root Tests / ADF | Cointegration |
|-------------------------------------------------------|:---------------:|:--------------------:|:------------------:|
| Introductory Time Series with R | ✔️ | ✔️ | ✔️ |
| Time Series Analysis: Forecasting and Control | ✔️ | ✔️ | ✔️ |
| Introduction to Time Series Analysis and Forecasting | ✔️ | ✔️ | ✔️ |
| Time Series Analysis (Hamilton) | ✔️ | ✔️ | ✔️ |
| Applied Econometric Time Series (Enders) | ✔️ | ✔️ | ✔️ |
| Unit Roots, Cointegration, and Structural Change | ✔️ | ✔️ | ✔️ |
| Analysis of Integrated and Cointegrated TS with R | ✔️ | ✔️ | ✔️ |
| Time Series, Unit Roots, and Cointegration (Dhrymes) | ✔️ | ✔️ | ✔️ |
| Nonstationary Time Series Analysis and Cointegration | ✔️ | ✔️ | ✔️ |
## Practical Online Chapters and Open Books
For free and supplementary reading:
- **A Very Short Course on Time Series Analysis** (see Ch. 2.8 for autocorrelation) — An introduction to ACF and the implications in real data[11].
- **STAT ONLINE (Penn State) — Time Series & Autocorrelation** — Covers foundational models, tests, and diagnostic procedures[12].
- **Bookdown: Econometrics** — Open-access resource with clear explanations of the Dickey-Fuller unit root test and application[13].
## Summary
- For **quick, practical learning with R**, try **Introductory Time Series with R** or Pfaff’s book.
- For **comprehensive theory and math**, see **Hamilton, Maddala & Kim,** or **Dhrymes**.
- For **practitioner-focused approaches** (including real data, exercises), see **Montgomery et al.** or **Enders**.
All these books systematically address autocorrelation, unit root testing (including ADF), and cointegration in time series analysis, suitable at various levels of expertise.
[1] https://www.machinelearningmastery.com/books-on-time-series-forecasting-with-r/
[2] https://www.tableau.com/learn/articles/time-series-analysis-books
[3] https://michaela-kratofil.com/files/2009_Book_IntroductoryTimeSeriesWithR.pdf
[4] https://cdn.oujdalibrary.com/books/78/78-introduction-to-time-series-analysis-and-forecasting-(www.tawcer.com).pdf
[5] https://pedro.unifei.edu.br/download/Montgomery.pdf
[6] https://stats.stackexchange.com/questions/20514/books-for-self-studying-time-series-analysis
[7] https://dokumen.pub/analysis-of-integrated-and-cointegrated-time-series-with-r-2nd-ed-9780387759661-9780387759678-0387759662-0387759670.html
[8] https://www.barnesandnoble.com/w/time-series-unit-roots-and-cointegration-phoebus-dhrymes/1100715954
[9] https://global.oup.com/academic/product/nonstationary-time-series-analysis-and-cointegration-9780198773924
[10] https://www.aladin.co.kr/shop/wproduct.aspx?ItemId=4971293
[11] https://bookdown.org/rdpeng/timeseriesbook/autocorrelation.html
[12] https://online.stat.psu.edu/stat501/book/export/html/995
[13] https://bookdown.org/jarneric/econometrics/8.2-unit-root-testing.html
[14] https://civil.colorado.edu/~balajir/CVEN6833/lectures/wwts-book.pdf
[15] http://repo.darmajaya.ac.id/4781/1/Time%20Series%20Analysis_%20Forecasting%20and%20Control%20(%20PDFDrive%20).pdf
[16] https://domino.ai/blog/time-series-with-r
[17] https://faculty.washington.edu/ezivot/econ584/notes/unitroot.pdf
[18] https://nscpolteksby.ac.id/ebook/files/Ebook/Accounting/Financial%20Econometrics%20with%20EViews%20(2010)/5.%20Chapter%204%20-%20Stationarity%20and%20Unit%20Roots%20Tests.pdf
[19] https://www.cambridge.org/core/books/econometric-modelling-with-time-series/cointegration/540A3C9207825BD3245B650C545EF2D6
[20] https://www.sciencedirect.com/science/article/abs/pii/S0165176597818721
[21] https://www.reddit.com/r/econometrics/comments/kr72yo/time_series_books_recommendation/
[22] https://stats.stackexchange.com/questions/511682/reference-request-book-on-unit-root-theory
[23] https://product.kyobobook.co.kr/detail/S000006392726
[24] https://www.sciencedirect.com/science/article/pii/016517659290022Q
[25] https://methods.sagepub.com/book/mono/introduction-to-time-series-analysis/chpt/models-integrated-cointegrated-data
[26] https://product.kyobobook.co.kr/detail/S000006627448
[27] https://www.linkedin.com/pulse/how-test-stationarity-time-series-deep-dive-adf-pp-ravichandran-usy1c
[28] https://datasciencetexts.com/subjects/time_series_analysis.html
[29] https://methods.sagepub.com/book/mono/introduction-to-time-series-analysis/toc
