Readings in Unobserved Components Models
Edited by Andrew Harvey and Tommaso Proietti
Table of Contents
Signal Extraction and Likelihood Inference for Linear UC Models
1:Introduction
2:Prediction Theory for Autoregressive-Moving Average Processes, P. Burridge and K.F. Wallis
3:Exact Initial Kalman Filtering and Smoothing for Non-stationary Time Series Models, S.J. Koopman
4:Smoothing and Interpolation with the State Space Model, P. de Jong
5:Diagnostic Checking of Unobserved Components in Time Series Models, A.C. Harvey and S.J. Koopman
6:Nonparametric Spline Regression with Autoregressive Moving Average Errors, R. Kohn, C.F. Ansley and C. Wong
Unobserved Components in Economic Time Series
7:Introduction
8:Univariate Detrending Methods with Stochastic Trends, M.W. Watson
9:Detrending, Stylized Facts and the Business Cycle, A.C. Harvey and A. Jaeger
10:Stochastic Linear Trends, Models and Estimators, A. Maravall
11:Estimation and Seasonal Adjustment of Population Means Using Data from Repeated Surveys, D. Pfeffermann
12:The Modelling and Seasonal Adjustment of Weekly Observations, A.C. Harvey, S.J. Koopman and M. Riani
Testing in Unobserved Components Models
13:Introduction
14:Testing for Deterministic Linear Trends in a Times Series, J. Nyblom
15:Are Seasonal Patterns Stable Over Time? A Test for Seasonal Stability, F. Canova and B.E. Hansen
Non-Linear and Non- Gaussian Models
16:Introduction
17:Times Series Models for Count Data or Qualitative Observations, A.C. Harvey and C. Fernandes
18:On Gibbs Sampling for State Space Models, Carter and Kohn
19:The Simulation Smoother, P. de Jong and N. Shephard
20:Likelihood Analysis of Non-Gaussian Measurement Time Series, N. Shephard and M.K. Pitt
21:Time Series Analysis of Non-Gaussian Observations based on State Space Models from both Classical and Bayesian Perspectives, J. Durbin and S.J. Koopman
22:Stochastic Volatility: Liklihood Inference and Comparison with ARCH Models, S. Kim, N. Shephard, and S. Chib
23:On Sequential Monte Carlo Sampling Methods for Bayesian Filtering, A. Doucet, S.J. Godsill, and C. Andrieu
