Online Public Access Catalogue (OPAC)
Library,Documentation and Information Science Division

“A research journal serves that narrow

borderland which separates the known from the unknown”

-P.C.Mahalanobis


Image from Google Jackets

Readings in unobserved components models / [edited by] Andrew C. Harvey and Tommaso Proietti.

Contributor(s): Material type: TextTextSeries: Advanced texts in econometricsPublication details: Oxford : Oxford University Press, 2005.Description: xv, 458 pages : illustrations ; 25 cmISBN:
  • 9780199278695 (pbk. : acidfree paper)
Subject(s): DDC classification:
  • 330.015195 23 H341
Contents:
PART ONE: SIGNAL EXTRACTION AND LIKELIHOOD INFERENCE FOR LINEAR UC MODELS -- 1. Introduction -- 2. Prediction theory for autoregressive-moving average processes / Peter Burridge, Kenneth F. Wallis -- 3. Exact initial Kalman filtering and smoothing for nonstationary time series models / Siem Jan Koopman -- 4. Smoothing and interpolation with the state-space model / Piet De Jong -- 5. Diagnostic checking of unobserved-components time series models / Andrew C. Harvey, Siem Jan Koopman -- 6. Nonparametric spline regression with autoregressive moving average errors / Robert Kohn [and others] -- PART TWO: UNOBSERVED COMPONENTS IN ECONOMIC TIME SERIES -- 7. Introduction -- 8. Univariate detrending methods with stochastic trends / Mark W. Watson -- 9. Detrending, stylized facts and the business cycle / A.C. Harvey, A. Jaeger -- 10. Stochastic linear trends: models and estimators / Augustín Maravall -- 11. Estimation and seasonal adjustment of population means using data from repeated surveys / Danny Pfeffermann -- 12. The modeling and seasonal adjustment of weekly observations / Andrew Harvey [and others] -- PART THREE: TESTING IN UNOBSERVED COMPONENTS MODELS -- 13. Introduction -- 14. Testing for deterministic linear trend in time series / Jukka Nyblom -- 15. Are seasonal patterns constant over time? A test for seasonal stability / Fabio Canova, Bruce E. Hansen -- PART FOUR: NON-LINEAR AND NON-GAUSSIAN MODELS -- 16. Introduction -- 17. Time series models for count or qualitative observations / A.C. Harvey, C. Fernandes -- 18. On Gibbs sampling for state space models / C.K. Carter, R. Kohn -- 19. The simulation smoother for time series models / Piet De Jong, Neil Shephard -- 20. Likelihood analysis of non-Gaussian measurement time series / Neil Shephard, Michael K. Pitt -- 21. Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives / J. Durbin, S.J. Koopman -- 22. On sequential Monte Carlo sampling methods for Bayesian filtering / Arnaud Doucet [and others].
Summary: "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, non-linear, and non-Gaussian UC models, signal extraction and testing, and one is devoted to selected econometric applications." "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 to provide a unified view of the literature and the many important developments that have occurred in the last years."--
Tags from this library: No tags from this library for this title. Log in to add tags.
Holdings
Item type Current library Call number Status Date due Barcode Item holds
Books ISI Library, Kolkata 330.015195 H341 (Browse shelf(Opens below)) Available 137915
Total holds: 0

Includes bibliographical references and indexes.

PART ONE: SIGNAL EXTRACTION AND LIKELIHOOD INFERENCE FOR LINEAR UC MODELS --
1. Introduction --
2. Prediction theory for autoregressive-moving average processes / Peter Burridge, Kenneth F. Wallis --
3. Exact initial Kalman filtering and smoothing for nonstationary time series models / Siem Jan Koopman --
4. Smoothing and interpolation with the state-space model / Piet De Jong --
5. Diagnostic checking of unobserved-components time series models / Andrew C. Harvey, Siem Jan Koopman --
6. Nonparametric spline regression with autoregressive moving average errors / Robert Kohn [and others] --
PART TWO: UNOBSERVED COMPONENTS IN ECONOMIC TIME SERIES --
7. Introduction --
8. Univariate detrending methods with stochastic trends / Mark W. Watson --
9. Detrending, stylized facts and the business cycle / A.C. Harvey, A. Jaeger --
10. Stochastic linear trends: models and estimators / Augustín Maravall --
11. Estimation and seasonal adjustment of population means using data from repeated surveys / Danny Pfeffermann --
12. The modeling and seasonal adjustment of weekly observations / Andrew Harvey [and others] --
PART THREE: TESTING IN UNOBSERVED COMPONENTS MODELS --
13. Introduction --
14. Testing for deterministic linear trend in time series / Jukka Nyblom --
15. Are seasonal patterns constant over time? A test for seasonal stability / Fabio Canova, Bruce E. Hansen --
PART FOUR: NON-LINEAR AND NON-GAUSSIAN MODELS --
16. Introduction --
17. Time series models for count or qualitative observations / A.C. Harvey, C. Fernandes --
18. On Gibbs sampling for state space models / C.K. Carter, R. Kohn --
19. The simulation smoother for time series models / Piet De Jong, Neil Shephard --
20. Likelihood analysis of non-Gaussian measurement time series / Neil Shephard, Michael K. Pitt --
21. Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives / J. Durbin, S.J. Koopman --
22. On sequential Monte Carlo sampling methods for Bayesian filtering / Arnaud Doucet [and others].

"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, non-linear, and non-Gaussian UC models, signal extraction and testing, and one is devoted to selected econometric applications." "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 to provide a unified view of the literature and the many important developments that have occurred in the last years."--

There are no comments on this title.

to post a comment.
Library, Documentation and Information Science Division, Indian Statistical Institute, 203 B T Road, Kolkata 700108, INDIA
Phone no. 91-33-2575 2100, Fax no. 91-33-2578 1412, ksatpathy@isical.ac.in