Readings in Unobserved Components Models by Andrew HarveyReadings in Unobserved Components Models by Andrew Harvey

Readings in Unobserved Components Models

EditorAndrew Harvey, Tommaso Proietti

Paperback | February 9, 2006

Pricing and Purchase Info


Earn 568 plum® points

Prices and offers may vary in store


Ships within 1-3 weeks

Ships free on orders over $25

Not available in stores


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
Title:Readings in Unobserved Components ModelsFormat: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:


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.