Readings in Unobserved Components Models: Advanced Texts in Econometrics

Overview

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
...

See more details below
Other sellers (Paperback)
  • All (8) from $36.05   
  • New (4) from $52.19   
  • Used (4) from $36.05   
Sending request ...

Overview

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.

Read More Show Less

Product Details

  • ISBN-13: 9780199278695
  • Publisher: Oxford University Press, USA
  • Publication date: 6/23/2005
  • Series: Advanced Texts in Econometrics Series
  • Pages: 474
  • Product dimensions: 9.20 (w) x 6.10 (h) x 1.10 (d)

Meet the Author

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

Read More Show Less

Table of Contents

Signal Extraction and Likelihood Inference for Linear UC Models
1. Introduction
2. Prediction Theory for Autoregressive-Moving Average Processes, P. Burridge and K.F. Wallis
3. Exact Initial Kalman Filtering and Smoothing for Non-stationary Time Series Models, S.J. Koopman
4. Smoothing and Interpolation with the State Space Model, P. de Jong
5. Diagnostic Checking of Unobserved Components in Time Series Models, A.C. Harvey and S.J. Koopman
6. Nonparametric Spline Regression with Autoregressive Moving Average Errors, R. Kohn, C.F. Ansley and C. Wong
Unobserved Components in Economic Time Series
7. Introduction
8. Univariate Detrending Methods with Stochastic Trends, M.W. Watson
9. Detrending, Stylized Facts and the Business Cycle, A.C. Harvey and A. Jaeger
10. Stochastic Linear Trends, Models and Estimators, A. Maravall
11. Estimation and Seasonal Adjustment of Population Means Using Data from Repeated Surveys, D. Pfeffermann
12. The Modelling and Seasonal Adjustment of Weekly Observations, A.C. Harvey, S.J. Koopman and M. Riani
Testing in Unobserved Components Models
13. Introduction
14. Testing for Deterministic Linear Trends in a Times Series, J. Nyblom
15. Are Seasonal Patterns Stable Over Time? A Test for Seasonal Stability, F. Canova and B.E. Hansen
Non-Linear and Non- Gaussian Models
16. Introduction
17. Times Series Models for Count Data or Qualitative Observations, A.C. Harvey and C. Fernandes
18. On Gibbs Sampling for State Space Models, Carter and Kohn
19. The Simulation Smoother, P. de Jong and N. Shephard
20. Likelihood Analysis of Non-Gaussian Measurement Time Series, N. Shephard and M.K. Pitt
21. Time Series Analysis of Non-Gaussian Observations based on State Space Models from both Classical and Bayesian Perspectives, J. Durbin and S.J. Koopman
22. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models, S. Kim, N. Shephard, and S. Chib
23. On Sequential Monte Carlo Sampling Methods for Bayesian Filtering, A. Doucet, S.J. Godsill, and C. Andrieu

Read More Show Less

Customer Reviews

Be the first to write a review
( 0 )
Rating Distribution

5 Star

(0)

4 Star

(0)

3 Star

(0)

2 Star

(0)

1 Star

(0)

Your Rating:

Your Name: Create a Pen Name or

Barnes & Noble.com Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & Noble.com that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & Noble.com does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at BN.com or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation

Reminder:

  • - By submitting a review, you grant to Barnes & Noble.com and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Noble.com Terms of Use.
  • - Barnes & Noble.com reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & Noble.com also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on BN.com. It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

 
Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously

    If you find inappropriate content, please report it to Barnes & Noble
    Why is this product inappropriate?
    Comments (optional)