Readings In Unobserved Components Models

Harvey, A.C. (Editor); Proietti, Tommaso (Editor)

ISBN 10: 0199278652 / ISBN 13: 9780199278657

Published by Oxford University Press, 2005

About this Item

New/New (31282) . New book in a new dust jacket. Clean, tight, unmarked. No remainder mark! 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.

Seller Inventory # 31282

Bibliographic Details

• Title: Readings In Unobserved Components Models
• Publisher: Oxford University Press
• Publication Date: 2005
• Language: English
• ISBN 10: 0199278652
• ISBN 13: 9780199278657
• Binding: Hardcover
• Edition: First ition edition
• Dust Jacket Condition: Dust Jacket Included

About this title

Synopsis

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 Author

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