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Readings in Unobserved Components Models Andrew Harvey (Professor of Econometrics, University of Cambridge)

Readings in Unobserved Components Models By Andrew Harvey (Professor of Econometrics, University of Cambridge)

Readings in Unobserved Components Models by Andrew Harvey (Professor of Econometrics, University of Cambridge)

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Readings in Unobserved Components Models Summary

Readings in Unobserved Components Models by Andrew Harvey (Professor of Econometrics, University of Cambridge)

This volume presents a collection of readings which give the reader an idea of the nature and scope of unobserved components (UC) models and the methods used to deal with them. The book is intended to give a self-contained presentation of the methods and applicative issues. Harvey has made major contributions to this field and provides substantial introductions throughout the book to form a unified view of the literature.

About the Series
Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.

Readings in Unobserved Components Models Reviews

...can be recommended to all those researchers engaged in this field, either on a more theoretical basis or with more emphasis on practical issues.

About Andrew Harvey (Professor of Econometrics, University of Cambridge)

Andrew Harvey is Professor of Econometrics at the University of Cambridge. Tommaso Proietti is Professor of Economic Statistics at the University of Udine, Italy

Table of Contents

SIGNAL EXTRACTION AND LIKELIHOOD INFERENCE FOR LINEAR UC MODELS ; 1. Introduction ; 2. Prediction Theory for Autoregressive-Moving Average Processes ; 3. Exact Initial Kalman Filtering and Smoothing for Non-stationary Time Series Models ; 4. Smoothing and Interpolation with the State Space Model ; 5. Diagnostic Checking of Unobserved Components in Time Series Models ; 6. Nonparametric Spline Regression with Autoregressive Moving Average Errors ; UNOBSERVED COMPONENTS IN ECONOMIC TIME SERIES ; 7. Introduction ; 8. Univariate Detrending Methods with Stochastic Trends ; 9. Detrending, Stylized Facts and the Business Cycle ; 10. Stochastic Linear Trends, Models and Estimators ; 11. Estimation and Seasonal Adjustment of Population Means Using Data from Repeated Surveys ; 12. The Modelling and Seasonal Adjustment of Weekly Observations ; TESTING IN UNOBSERVED COMPONENTS MODELS ; 13. Introduction ; 14. Testing for Deterministic Linear Trends in a Times Series ; 15. Are Seasonal Patterns Stable Over Time? A Test for Seasonal Stability ; NON-LINEAR AND NON- GAUSSIAN MODELS ; 16. Introduction ; 17. Times Series Models for Count Data or Qualitative Observations ; 18. On Gibbs Sampling for State Space Models ; 19. The Simulation Smoother ; 20. Likelihood Analysis of Non-Gaussian Measurement Time Series ; 21. Time Series Analysis of Non-Gaussian Observations based on State Space Models from both Classical and Bayesian Perspectives ; 22. Stochastic Volatility: Liklihood Inference and Comparison with ARCH Models ; 23. On Sequential Monte Carlo Sampling Methods for Bayesian Filtering

Additional information

NLS9780199278695
9780199278695
0199278695
Readings in Unobserved Components Models by Andrew Harvey (Professor of Econometrics, University of Cambridge)
Andrew Harvey (Professor of Econometrics, University of Cambridge)
Advanced Texts in Econometrics
New
Paperback
Oxford University Press
2005-04-07
480
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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