Readings in Unobserved Components Models (Paperback)

Sprache: Englisch

Verlag: Oxford University Press, Oxford, 2005

0199278695 / 9780199278695

Serie: Buch 20 von 26 - Advanced Texts in Econometrics

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Paperback. 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 partfocuses 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 varianceparameters 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 nonGaussian 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 occurredin the last years. 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 item is printed on demand. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability.…

Bestandsnummer des Verkäufers 9780199278695

Titel
Readings in Unobserved Components Models (Paperback)
Autor
Harvey
Verlag
Oxford University Press, Oxford
Erscheinungsjahr
2005
Zustand
new
Einband
Paperback
Sprache
Englisch
ISBN-10
0199278695
ISBN-13
9780199278695
Serie
Buch 20 von 26: Advanced Texts in Econometrics

AussieBookSeller

Truganina, VIC, Australien

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AbeBooks-Verkäufer/-in seit 22. Juni 2007

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