Unobserved Components and Time Series Econometrics

Edited by Siem Jan Koopman and Neil Shephard

Leading contributors provide insight into relevant research directions
Unique overview that offers a complete review of current research on UC models
Active leading researchers present up-to-date and current work
Broad picture where many different methodologies are presented

Unobserved Components and Time Series Econometrics

Edited by Siem Jan Koopman and Neil Shephard

Description

This volume presents original and up-to-date studies in unobserved components (UC) time series models from both theoretical and methodological perspectives. It also presents empirical studies where the UC time series methodology is adopted. Drawing on the intellectual influence of Andrew Harvey, the work covers three main topics: the theory and methodology for unobserved components time series models; applications of unobserved components time series models; and time series econometrics and estimation and testing. These types of time series models have seen wide application in economics, statistics, finance, climate change, engineering, biostatistics, and sports statistics.

The volume effectively provides a key review into relevant research directions for UC time series econometrics and will be of interest to econometricians, time series statisticians, and practitioners (government, central banks, business) in time series analysis and forecasting, as well to researchers and graduate students in statistics, econometrics, and engineering.

Unobserved Components and Time Series Econometrics

Edited by Siem Jan Koopman and Neil Shephard

1. Introduction, Siem Jan Koopman and Neil Shephard
2. The Development of a Time Series Methodology: from Recursive Residuals to Dynamic Conditional Score Models, Andrew Harvey
3. A State-Dependent Model for Inflation Forecasting, Andrea Stella and James H. Stock
4. Measuring the Tracking Error of Exchange Traded Funds, Giuliano De Rossi
5. Measuring the Dynamics of Global Business Cycle Connectedness, Francis X. Diebold and Kamil Yilmaz
6. Inferring and Predicting Global Temperature Trends, Craig Ansley and Piet de Jong
7. Forecasting the Boat Race, Geert Mesters and Siem Jan Koopman
8. Tests for Serial Dependence in Static, Non-Gaussian Factor Models, Gabriele Fiorentini and Enrique Sentana
9. Inference for Models with Asymmetric *a-Stable Noise Processes, Tatjana Lemke and Simon J. Godsill
10. Martingale Unobserved Component Models, Neil Shephard
11. More is Not Always Better: Kalman Filtering in Dynamic Factor Models, Pilar Poncela and Esther Ruiz
12. On Detecting End-of-Sample Instabilities, Fabio Busetti
13. Improved Frequentist Prediction Intervals for Autoregressive Models by Simulation, Jouni Helske and Jukka Nyblom
14. The Superiority of the LM Test in a Class of Econometric Models Where the Wald Test Performs Poorly, Jun Ma and Charles R. Nelson
15. Generalised Linear Spectral Models, Tommaso Proietti and Alessandra Luati

Unobserved Components and Time Series Econometrics

Edited by Siem Jan Koopman and Neil Shephard

Author Information

Siem Jan Koopman, Professor of Econometrics, VU University Amsterdam,Neil Shephard, Professor of Economics and of Statistics, Harvard University

Siem Jan Koopman is a Professor of Econometrics at the VU University Amsterdam and Research Fellow at the Tinbergen Institute. Furthermore, he is a Visiting Professor at CREATES, University of Aarhus and a Visiting Researcher at the European Central Bank, Financial Research. He has held positions at LSE and Tilburg University, and has been a Research Fellow at the US Bureau of the Census, Washington DC, and a Fernand Braudel Senior Fellow at the European University Institute, Florence.

Neil Shephard is Professor of Economics and of Statistics at Harvard University. He previously was a faculty member at the LSE and Oxford University. He was elected a Fellow of the Econometric Society in 2004 and a Fellow of the British Academy in 2006. He received an honourary doctorate in economics from Aarhus University in 2009. He was award the Richard Stone Prize in Applied Econometrics in 2012. He has been an associate editor of the academic journal Econometrica since 2002. He has previously been on the editorial boards of, for example, Review of Economic Studies, Biometrika and JRSSB.

Contributors:

Craig Ansley
Fabio Busetti, Bank of Italy
Piet de Jong, Macquarie University
Francis X. Diebold, University of Pennsylvania
Giuliano De Rossi, Macquarie Securities
Gabriele Fiorentini, University of Florence
Simon J. Godsill, University of Cambridge
Andrew Harvey, University of Cambridge
Jouni Helske, University of Jyväskylä
Siem Jan Koopman, VU University Amsterdam
Tatjana Lemke, University of Cambridge
Alessandra Luati, University of Bologna
Jun Ma, University of Alabama
Geert Mesters, Universitat Pompeu Fabra
Charles R. Nelson, University of Washington
Jukka Nyblom, University of Jyväskylä
Pilar Poncela, Universidad Autónoma de Madrid
Tommaso Proietti, University of Tor Vergata
Esther Ruiz, Universidad Carlos III de Madrid
Enrique Sentana
Neil Shephard, Harvard University
Andrea Stella, Federal Reserve System
James H. Stock, Harvard University
Kamil Yilmaz, Koç University