Readings in Unobserved Components Models (Advanced Texts in Econometrics) - Hardcover

Hardcover

ISBN 10: 0199278652 ISBN 13: 9780199278657

Publisher: OUP Oxford, 2005

Synopsis

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.

About this title

Review

...can be recommended to all those researchers engaged in this field, either on a more theoretical basis or with more emphasis on practical issues.

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

Edition details

• Publisher: OUP Oxford
• Publication date: 2005
• Language: English
• ISBN 10: 0199278652
• ISBN 13: 9780199278657
• Binding: Hardcover
• Number of pages: 480
• Editor: Harvey Andrew, Proietti Tommaso