Readings in Unobserved Components Models

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

• SIGNAL EXTRACTION AND LIKELIHOOD INFERENCE FOR LINEAR UC MODELS ; 1. Introduction ; 2. Prediction Theory for Autoregressive-Moving Average Processes ; 3. Exact Initial Kalman Filtering and Smoothing for Non-stationary Time Series Models ; 4. Smoothing and Interpolation with the State Space Model ; 5. Diagnostic Checking of Unobserved Components in Time Series Models ; 6. Nonparametric Spline Regression with Autoregressive Moving Average Errors ; UNOBSERVED COMPONENTS IN ECONOMIC TIME SERIES ; 7. Introduction ; 8. Univariate Detrending Methods with Stochastic Trends ; 9. Detrending, Stylized Facts and the Business Cycle ; 10. Stochastic Linear Trends, Models and Estimators ; 11. Estimation and Seasonal Adjustment of Population Means Using Data from Repeated Surveys ; 12. The Modelling and Seasonal Adjustment of Weekly Observations ; TESTING IN UNOBSERVED COMPONENTS MODELS ; 13. Introduction ; 14. Testing for Deterministic Linear Trends in a Times Series ; 15. Are Seasonal Patterns Stable Over Time? A Test for Seasonal Stability ; NON-LINEAR AND NON- GAUSSIAN MODELS ; 16. Introduction ; 17. Times Series Models for Count Data or Qualitative Observations ; 18. On Gibbs Sampling for State Space Models ; 19. The Simulation Smoother ; 20. Likelihood Analysis of Non-Gaussian Measurement Time Series ; 21. Time Series Analysis of Non-Gaussian Observations based on State Space Models from both Classical and Bayesian Perspectives ; 22. Stochastic Volatility: Liklihood Inference and Comparison with ARCH Models ; 23. On Sequential Monte Carlo Sampling Methods for Bayesian Filtering

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