Time Series Modelling with Unobserved Components

by Matteo M. Pelagatti

Overview

Despite the unobserved components model (UCM) having many advantages over more popular forecasting techniques based on regression analysis, exponential smoothing, and ARIMA, the UCM is not well known among practitioners outside the academic community. Time Series Modelling with Unobserved Components rectifies this deficiency by giving a practical o

Product Details

ISBN-13:	9781040195895
Publisher:	CRC Press
Publication date:	07/28/2015
Sold by:	Barnes & Noble
Format:	eBook
Pages:	275
File size:	5 MB

Table of Contents

Statistical Prediction and Time Series: Statistical Prediction. Time Series Concepts. Unobserved Components: Unobserved Components Model. Regressors and Interventions. Estimation. Modelling. Multivariate Models. Applications: Business Cycle Analysis with UCM. Case Studies. Software for UCM.

Editorial Reviews

"The main contribution of the book relative to existing books on this topic is that it emphasizes the actual model class, rather than methods for these kind of models. The author points out that despite the many advantages of this rich class, its use is still limited among practitioners. He hopes that his new angle will further popularize unobserved component models…the book really achieves its purpose and differentiates itself from alternatives, and is therefore a valuable addition and worth buying. The discussion of software in Chapter 10 is extremely timely and a great plus for practitioners and researchers that are ready to sit down and start implementing. For each software package, clear examples are given on how to run an example unobserved component model…In closing, the book reads well and really provides the reader with a broad understanding of the unobserved component approach. This includes models, methods, and the discussion of software packages. I can imagine that besides being relevant and interesting for practitioners, students will benefit from reading this book. I personally would be more than happy to suggest it to Master and advanced Bachelor students in Econometrics working on the topic in a course or for their thesis."
—Michel van der Wel, Erasmus University Rotterdam, The American Statistician, November 2016

"Overall, this is a unique book on time series analysis in that it covers substantial amount of material lucidly and succinctly without much fluff in less than 260 pages and achieves its five stated goals. I enjoyed reading the book, and I believe it is an excellent reference book for UCM and related software packages, time series analysis, and study of business cycles. It can also be used as a companion for teaching time series analysis along with a standard time series text."
—Journal of Time Series Analysis, 2016

From the Publisher