Readings in Unobserved Components Models

Paperback | February 9, 2006

EditorAndrew Harvey, Tommaso Proietti

not yet rated|write a review
This title includes the following features: Harvey is a well known author; Includes substantive introductions to each section

Pricing and Purchase Info


In stock online
Ships free on orders over $25

From the Publisher

This title includes the following features: Harvey is a well known author; Includes substantive introductions to each section

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

other books by Andrew Harvey

Play Life More Beautifully: Reflections On Music, Friendship & Creativity
Play Life More Beautifully: Reflections On Music, Frien...

Paperback|May 23 2017

$15.13 online$16.99list price(save 10%)
Light the Flame: 365 Days of Prayer
Light the Flame: 365 Days of Prayer

Paperback|Nov 11 2013


see all books by Andrew Harvey
Format:PaperbackDimensions:472 pages, 9.21 × 6.14 × 1.05 inPublished:February 9, 2006Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0199278695

ISBN - 13:9780199278695

Look for similar items by category:

Customer Reviews of Readings in Unobserved Components Models


Extra Content

Table of Contents

Signal Extraction and Likelihood Inference for Linear UC Models1. Introduction2. P. Burridge and K.F. Wallis: Prediction Theory for Autoregressive-Moving Average Processes3. S.J. Koopman: Exact Initial Kalman Filtering and Smoothing for Non-stationary Time Series Models4. P. de Jong: Smoothing and Interpolation with the State Space Model5. A.C. Harvey and S.J. Koopman: Diagnostic Checking of Unobserved Components in Time Series Models6. R. Kohn, C.F. Ansley and C. Wong: Nonparametric Spline Regression with Autoregressive Moving Average ErrorsUnobserved Components in Economic Time Series7. Introduction8. M.W. Watson: Univariate Detrending Methods with Stochastic Trends9. A.C. Harvey and A. Jaeger: Detrending, Stylized Facts and the Business Cycle10. A. Maravall: Stochastic Linear Trends, Models and Estimators11. D. Pfeffermann: Estimation and Seasonal Adjustment of Population Means Using Data from Repeated Surveys12. A.C. Harvey, S.J. Koopman and M. Riani: The Modelling and Seasonal Adjustment of Weekly ObservationsTesting in Unobserved Components Models13. Introduction14. J. Nyblom: Testing for Deterministic Linear Trends in a Times Series15. F. Canova and B.E. Hansen: Are Seasonal Patterns Stable Over Time? A Test for Seasonal StabilityNon-Linear and Non- Gaussian Models16. Introduction17. A.C. Harvey and C. Fernandes: Times Series Models for Count Data or Qualitative Observations18. Carter and Kohn: On Gibbs Sampling for State Space Models19. P. de Jong and N. Shephard: The Simulation Smoother20. N. Shephard and M.K. Pitt: Likelihood Analysis of Non-Gaussian Measurement Time Series21. J. Durbin and S.J. Koopman: Time Series Analysis of Non-Gaussian Observations based on State Space Models from both Classical and Bayesian Perspectives22. S. Kim, N. Shephard, and S. Chib: Stochastic Volatility: Liklihood Inference and Comparison with ARCH Models23. A. Doucet, S.J. Godsill, and C. Andrieu: On Sequential Monte Carlo Sampling Methods for Bayesian Filtering

Editorial 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.