some books specifically for multiple time series that weren't mentioned I don't think:<br /><br />Eric Zivot's : S+Finmetrics<br />Enders: ( forget title ).<br />Lutkepohl: An Introduction to Multiple Time Series Analysis<br /><br />The first two are more introductory compared to Lutkepohl. His book is like Hamilton but totally focuses on VARS.<br /><br /><br /><br /><br /><p>On Oct 9, 2009, <strong>Jeff Ryan</strong> <jeff.a.ryan@gmail.com> wrote: </p><div class="replyBody"><blockquote style="border-left: 2px solid #267fdb; margin: 0pt 0pt 0pt 1.8ex; padding-left: 1ex">Take a look at the task views:<br /><br /><a href="http://cran.r-project.org/web/views/TimeSeries.html" target="_blank" class="parsedLink">http://cran.r-project.org/web/views/TimeSeries.html</a><br /><a href="http://cran.r-project.org/web/views/Econometrics.html" target="_blank" class="parsedLink">http://cran.r-project.org/web/views/Econometrics.html</a><br /><a href="http://cran.r-project.org/web/views/Finance.html" target="_blank" class="parsedLink">http://cran.r-project.org/web/views/Finance.html</a><br /><br />HTH<br />Jeff<br /><br /><br />On Fri, Oct 9, 2009 at 12:48 PM, Brian G. Peterson <<a href="mailto:brian@braverock.com" target="_blank" class="parsedEmail">brian@braverock.com</a>> wrote:<br />> FMH wrote:<br />>><br />>> Dear All,<br />>><br />>> I am planning to use multiple time series modelling on data series from<br />>> several groups.<br />>><br />>> Is there any package that can be used to do this operation, and i really<br />>> appreciate for any suggestion/advice on this matter.<br />>><br />><br />> Your question is so general it is hard to figure out what you want to do.<br />><br />> You may want to start with Brian Everitt's book "An R and S-Plus Companion<br />> to Multivariate Analysis" and then maybe move on to Ruppert or Shumway and<br />> Stoffer.<br />><br />> Regards,<br />><br />> - Brian<br />><br />> --<br />> Brian G. Peterson<br />> <a href="http://braverock.com/brian/" target="_blank" class="parsedLink">http://braverock.com/brian/</a><br />> Ph: 773-459-4973<br />> IM: bgpbraverock<br />><br />> _______________________________________________<br />> <a href="mailto:R-SIG-Finance@stat.math.ethz.ch" target="_blank" class="parsedEmail">R-SIG-Finance@stat.math.ethz.ch</a> mailing list<br />> <a href="https://stat.ethz.ch/mailman/listinfo/r-sig-finance" target="_blank" class="parsedLink">https://stat.ethz.ch/mailman/listinfo/r-sig-finance</a><br />> -- Subscriber-posting only.<br />> -- If you want to post, subscribe first.<br />><br /><br /><br /><br />-- <br />Jeffrey Ryan<br /><a href="mailto:jeffrey.ryan@insightalgo.com" target="_blank" class="parsedEmail">jeffrey.ryan@insightalgo.com</a><br /><br />ia: insight algorithmics<br /><a href="http://www.insightalgo.com" target="_blank" class="parsedLink">www.insightalgo.com</a><br /><br />_______________________________________________<br /><a href="mailto:R-SIG-Finance@stat.math.ethz.ch" target="_blank" class="parsedEmail">R-SIG-Finance@stat.math.ethz.ch</a> mailing list<br /><a href="https://stat.ethz.ch/mailman/listinfo/r-sig-finance" target="_blank" class="parsedLink">https://stat.ethz.ch/mailman/listinfo/r-sig-finance</a><br />-- Subscriber-posting only.<br />-- If you want to post, subscribe first.<br /></blockquote></div>