Introduction to Time Series Analysis

Directorate-General for Economic and Financial Affairs (DG ECFIN)

November 2021








Main reference:

Other useful references:

And even more additional references:




Block 1: Univariate Stationary Processes



STATA materials


  • Readings handout 1: Cochrane, Sections 2, 3.1, 3.2., 3.3 and 4 








Block 2: Multivariate Stationary Processes






STATA materials

Recommended Readings

  • Hamilton, chapter 11




Block 3: Univariate Non-Stationary Processes





STATA materials

unit_roots.do: Running unit roots tests with STATA

Other interesting Stuff

  • Examples of Spurious regressions

  • On Brownian motion:

  1. A bit of history

  2. Brownian motion and finance

  3. Einstein's explanation of Brownian Motion





Block 4: Multivariate Non-Stationary Processes





STATA materials

Recommended Readings: