Unobserved Components And Time Series Econometrics

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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 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 In Economic Time Series

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Author : Agustín Maravall
language : en
Publisher:
Release Date : 1993

Unobserved Components In Economic Time Series written by Agustín Maravall and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Econometrics categories.

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.

Economic Time Series

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Author : William R. Bell
language : en
Publisher: CRC Press
Release Date : 2018-11-14

Economic Time Series written by William R. Bell and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-11-14 with Mathematics categories.

Economic Time Series: Modeling and Seasonality is a focused resource on analysis of economic time series as pertains to modeling and seasonality, presenting cutting-edge research that would otherwise be scattered throughout diverse peer-reviewed journals. This compilation of 21 chapters showcases the cross-fertilization between the fields of time s

Analysis Of Economic Time Series

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Author : Marc Nerlove
language : en
Publisher: Academic Press
Release Date : 2014-05-10

Analysis Of Economic Time Series written by Marc Nerlove and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-10 with Business & Economics categories.

Analysis of Economic Time Series: A Synthesis integrates several topics in economic time-series analysis, including the formulation and estimation of distributed-lag models of dynamic economic behavior; the application of spectral analysis in the study of the behavior of economic time series; and unobserved-components models for economic time series and the closely related problem of seasonal adjustment. Comprised of 14 chapters, this volume begins with a historical background on the use of unobserved components in the analysis of economic time series, followed by an Introduction to the theory of stationary time series. Subsequent chapters focus on the spectral representation and its estimation; formulation of distributed-lag models; elements of the theory of prediction and extraction; and formulation of unobserved-components models and canonical forms. Seasonal adjustment techniques and multivariate mixed moving-average autoregressive time-series models are also considered. Finally, a time-series model of the U.S. cattle industry is presented. This monograph will be of value to mathematicians, economists, and those interested in economic theory, econometrics, and mathematical economics.

An Introduction To State Space Time Series Analysis

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Author : Jacques J. F. Commandeur
language : en
Publisher: OUP Oxford
Release Date : 2007-07-19

An Introduction To State Space Time Series Analysis written by Jacques J. F. Commandeur and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-07-19 with Business & Economics categories.

Providing a practical introduction to state space methods as applied to unobserved components time series models, also known as structural time series models, this book introduces time series analysis using state space methodology to readers who are neither familiar with time series analysis, nor with state space methods. The only background required in order to understand the material presented in the book is a basic knowledge of classical linear regression models, of which a brief review is provided to refresh the reader's knowledge. Also, a few sections assume familiarity with matrix algebra, however, these sections may be skipped without losing the flow of the exposition. The book offers a step by step approach to the analysis of the salient features in time series such as the trend, seasonal, and irregular components. Practical problems such as forecasting and missing values are treated in some detail. This useful book will appeal to practitioners and researchers who use time series on a daily basis in areas such as the social sciences, quantitative history, biology and medicine. It also serves as an accompanying textbook for a basic time series course in econometrics and statistics, typically at an advanced undergraduate level or graduate level.

Unobserved Components Signal Extraction And Relationships Between Macroeconomic Time Series

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Author : Terence C. Mills
language : en
Publisher:
Release Date : 1981

Unobserved Components Signal Extraction And Relationships Between Macroeconomic Time Series written by Terence C. Mills and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1981 with Econometrics categories.

Unobserved Components And Time Series Econometrics

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Author : Siem Jan Koopman
language : en
Publisher: Oxford University Press
Release Date : 2015

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 with Business & Economics categories.

Presents original and up-to-date studies in unobserved components (UC) time series models from both theoretical and methodological perspectives.

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.