Pfaff B. Analysis of Integrated and Cointegrated Time Series with R. 2ed 2008

Textbook in PDF format

This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
Theoretical Concepts
Univariate Analysis of Stationary Time Series
Multivariate Analysis of Stationary Time Series
Non-stationary Time Series
Cointegration
Unit Root Tests
Testing for the Order of Integration
Further Considerations
Cointegration
Single-Equation Methods
Multiple-Equation Methods
Appendix
Time Series Data
Technicalities
CRAN Packages UsedAbbreviations, Nomenclature, and Symbols