Readings In Unobserved Components Models
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Readings In Unobserved Components Models
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Author : Andrew C. Harvey
language : en
Publisher: Oxford University Press, USA
Release Date : 2005
Readings In Unobserved Components Models written by Andrew C. Harvey and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Business & Economics categories.
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.
Readings In Unobserved Components Models
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Author : Andrew Harvey
language : en
Publisher: OUP Oxford
Release Date : 2005-04-07
Readings In Unobserved Components Models written by Andrew Harvey and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-04-07 with Business & Economics categories.
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. - ;This book 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. It contains four parts, three of which concern recent theoretical developments in classical and Bayesian estimation of linear, nonlinear, and non Gaussian UC models, signal extraction and testing, and one is devoted to selected econometric applications. The first part focuses on the linear state space model; the readings provide insight on prediction theory, signal extraction, and likelihood inference for non stationary and non invertible processes, diagnostic checking, and the use of state space methods for spline smoothing. Part II deals with applications of linear UC models to various estimation problems concerning economic time series, such as trend-cycle decompositions, seasonal adjustment, and the modelling of the serial correlation induced by survey sample design. The issues involved in testing in linear UC models are the theme of part III, which considers tests concerned with whether or not certain variance parameters are zero, with special reference to stationarity tests. Finally, part IV is devoted to the advances concerning classical and Bayesian inference for non linear and non Gaussian state space models, an area that has been evolving very rapidly during the last decade, paralleling the advances in computational inference using stochastic simulation techniques. The book is intended to give a relatively self-contained presentation of the methods and applicative issues. For this purpose, each part comes with an introductory chapter by the editors that provides a unified view of the literature and the many important developments that have occurred in the last years. -
Time Series Modelling With Unobserved Components
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Author : Matteo M. Pelagatti
language : en
Publisher: CRC Press
Release Date : 2015-07-28
Time Series Modelling With Unobserved Components written by Matteo M. Pelagatti and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-07-28 with Mathematics categories.
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
Unobserved Components And Time Series Econometrics
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Author : Siem Jan Koopman
language : en
Publisher: Oxford University Press
Release Date : 2015-11-19
Unobserved Components And Time Series Econometrics written by Siem Jan Koopman and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-11-19 with Business & Economics categories.
This volume presents original and up-to-date studies in unobserved components (UC) time series models from both theoretical and methodological perspectives. It also presents empirical studies where the UC time series methodology is adopted. Drawing on the intellectual influence of Andrew Harvey, the work covers three main topics: the theory and methodology for unobserved components time series models; applications of unobserved components time series models; and time series econometrics and estimation and testing. These types of time series models have seen wide application in economics, statistics, finance, climate change, engineering, biostatistics, and sports statistics. The volume effectively provides a key review into relevant research directions for UC time series econometrics and will be of interest to econometricians, time series statisticians, and practitioners (government, central banks, business) in time series analysis and forecasting, as well to researchers and graduate students in statistics, econometrics, and engineering.
Time Series Modelling With Unobserved Components
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Author : Matteo Maria Pelagatti
language : en
Publisher: Chapman and Hall/CRC
Release Date : 2015-08-21
Time Series Modelling With Unobserved Components written by Matteo Maria Pelagatti and has been published by Chapman and Hall/CRC this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-08-21 with Mathematics categories.
Unobserved Components Models (UCMs) are a special class of time series models that have many advantages compared with other models in that they tend to provide more accurate forecasts and can be easily implemented. This book provides an overview of time series modelling using UCMs with an emphasis on real-world applications and solutions to practical problems. Detailed worked examples, primarily from economics and business, provide additional guidance on the use of appropriate software for each method.
State Space And Unobserved Component Models
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Author : Andrew Harvey
language : en
Publisher:
Release Date : 2004
State Space And Unobserved Component Models written by Andrew Harvey and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Trend Cycle Interaction In Unobserved Components Models
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Author : Max Soloschenko
language : en
Publisher:
Release Date : 2014
Trend Cycle Interaction In Unobserved Components Models written by Max Soloschenko and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
State Space And Unobserved Component Models
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Author : James Durbin
language : en
Publisher: Cambridge University Press
Release Date : 2004-06-10
State Space And Unobserved Component Models written by James Durbin and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-06-10 with Business & Economics categories.
A comprehensive overview of developments in the theory and application of state space modeling, first published in 2004.
Volatility And Time Series Econometrics
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Author : Tim Bollerslev
language : en
Publisher: OUP Oxford
Release Date : 2010-02-11
Volatility And Time Series Econometrics written by Tim Bollerslev and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-02-11 with Business & Economics categories.
Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to field of time series econometrics more generally. Engle's Nobel Prize citation focuses on his path-breaking work on autoregressive conditional heteroskedasticity (ARCH) and the profound effect that this work has had on the field of financial econometrics. Several of the chapters focus on conditional heteroskedasticity, and develop the ideas of Engle's Nobel Prize winning work. Engle's work has had its most profound effect on the modelling of financial variables and several of the chapters use newly developed time series methods to study the behavior of financial variables. Each of the 16 chapters may be read in isolation, but they all importantly build on and relate to the seminal work by Nobel Laureate Robert F. Engle.
Palgrave Handbook Of Econometrics
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Author : T. Mills
language : en
Publisher: Springer
Release Date : 2009-06-25
Palgrave Handbook Of Econometrics written by T. Mills and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-06-25 with Business & Economics categories.
Following theseminal Palgrave Handbook of Econometrics: Volume I , this second volume brings together the finestacademicsworking in econometrics today andexploresapplied econometrics, containing contributions onsubjects includinggrowth/development econometrics and applied econometrics and computing.