Use R Introductory Time Series with R (Cowpertwait)
From the author's website:
"Data listed here are for teaching/research only and can be downloaded free of charge from various sites via the internet. The sources are various, including R, the Climatic Research Unit (University of East Anglia), Rob Hyndman's Time Series library, the Pacific Exchange Rate Service, the United Nations Framework Convention on Climate Change, and the Australian Bureaux of Statistics. We are grateful to these organisations and people for making their data available. Please let us know if you find your data here without a suitable acknowledgement. The chapter in which the data set first appears is shown first."
Table of Contents
Time Series Data
Correlation
Forecasting Strategies
Basic Stochastic Models
Regression
Stationary Models
Non-stationary Models
Long Memory Processes
Spectral Analysis
System Identification
Multivariate Models
State Space Models