Readings in unobserved components models /

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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 con...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Harvey, A. C. (Andrew C.), Proietti, Tommaso, 1964-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Oxford ; New York : Oxford University Press, 2005.
Colección:Advanced texts in econometrics.
Temas:
Econometric models.
Modèles économétriques.
BUSINESS & ECONOMICS > Econometrics.
BUSINESS & ECONOMICS > Statistics.
Econometric models
Econometrische modellen.
Unobserved components models.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • PART ONE: SIGNAL EXTRACTION AND LIKELIHOOD INFERENCE FOR LINEAR UC MODELS
  • Prediction theory for autoregressive-moving average processes / Peter Burridge, Kenneth F. Wallis
  • Exact initial Kalman filtering and smoothing for nonstationary time series models / Siem Jan Koopman
  • Smoothing and interpolation with the state-space model / Piet De Jong
  • Diagnostic checking of unobserved-components time series models / Andrew C. Harvey, Siem Jan Koopman
  • Nonparametric spline regression with autoregressive moving average errors / Robert Kohn [and others]
  • PART TWO: UNOBSERVED COMPONENTS IN ECONOMIC TIME SERIES
  • Univariate detrending methods with stochastic trends / Mark W. Watson
  • Detrending, stylized facts and the business cycle / A.C. Harvey, A. Jaeger
  • Stochastic linear trends: models and estimators / Augustín Maravall
  • Estimation and seasonal adjustment of population means using data from repeated surveys / Danny Pfeffermann
  • The modeling and seasonal adjustment of weekly observations / Andrew Harvey [and others]
  • PART THREE: TESTING IN UNOBSERVED COMPONENTS MODELS
  • Testing for deterministic linear trend in time series / Jukka Nyblom
  • Are seasonal patterns constant over time? A test for seasonal stability / Fabio Canova, Bruce E. Hansen
  • PART FOUR: NON-LINEAR AND NON-GAUSSIAN MODELS
  • Time series models for count or qualitative observations / A.C. Harvey, C. Fernandes
  • On Gibbs sampling for state space models / C.K. Carter, R. Kohn
  • The simulation smoother for time series models / Piet De Jong, Neil Shephard
  • Likelihood analysis of non-Gaussian measurement time series / Neil Shephard, Michael K. Pitt
  • Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives / J. Durbin, S.J. Koopman
  • On sequential Monte Carlo sampling methods for Bayesian filtering / Arnaud Doucet [and others].

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