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Readings In Unobserved Components Models
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Book Synopsis Readings in Unobserved Components Models by : Andrew C. Harvey
Download or read book Readings in Unobserved Components Models written by Andrew C. Harvey and published by Oxford University Press on Demand. This book was released on 2005 with total page 475 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 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 th.
Book Synopsis Readings in Unobserved Components Models by : Andrew Harvey
Download or read book Readings in Unobserved Components Models written by Andrew Harvey and published by OUP Oxford. This book was released on 2005-04-07 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 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. -
Book Synopsis Time Series Modelling with Unobserved Components by : Matteo M. Pelagatti
Download or read book Time Series Modelling with Unobserved Components written by Matteo M. Pelagatti and published by CRC Press. This book was released on 2015-07-28 with total page 275 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite the unobserved components model (UCM) having many advantages over more popular forecasting techniques based on regression analysis, exponential smoothing, and ARIMA, the UCM is not well known among practitioners outside the academic community. Time Series Modelling with Unobserved Components rectifies this deficiency by giving a practical o
Book Synopsis Unobserved Components and Time Series Econometrics by : Siem Jan Koopman
Download or read book Unobserved Components and Time Series Econometrics written by Siem Jan Koopman and published by Oxford University Press. This book was released on 2015-11-19 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Volatility and Time Series Econometrics by : Tim Bollerslev
Download or read book Volatility and Time Series Econometrics written by Tim Bollerslev and published by OUP Oxford. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to field of time series econometrics more generally. Engle's Nobel Prize citation focuses on his path-breaking work on autoregressive conditional heteroskedasticity (ARCH) and the profound effect that this work has had on the field of financial econometrics. Several of the chapters focus on conditional heteroskedasticity, and develop the ideas of Engle's Nobel Prize winning work. Engle's work has had its most profound effect on the modelling of financial variables and several of the chapters use newly developed time series methods to study the behavior of financial variables. Each of the 16 chapters may be read in isolation, but they all importantly build on and relate to the seminal work by Nobel Laureate Robert F. Engle.
Book Synopsis Palgrave Handbook of Econometrics by : T. Mills
Download or read book Palgrave Handbook of Econometrics written by T. Mills and published by Springer. This book was released on 2009-06-25 with total page 1385 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following theseminal Palgrave Handbook of Econometrics: Volume I , this second volume brings together the finestacademicsworking in econometrics today andexploresapplied econometrics, containing contributions onsubjects includinggrowth/development econometrics and applied econometrics and computing.
Download or read book Building Cycles written by Richard Barras and published by John Wiley & Sons. This book was released on 2009-08-13 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global economic crisis of 2008 was precipitated by a housing market crash, thus highlighting the destabilizing influence of the property cycle upon the wider economy. This timely book by a world authority explores why cycles occur and how they affect the behaviour of real estate markets. The central argument put forward is that growth and instability are inextricably linked, and that building investment acts both as a key driver of growth and as the source of the most volatile cyclical fluctuations in an economy. The role of building cycles in both economic growth and urban development is explored through a theoretical review and a comparative historical analysis of UK and US national data stretching back to the start of the nineteenth century, together with a case study of the development of London since the start of the eighteenth century. A simulation model of the building cycle is presented and tested using data for the City of London office market. The analysis is then broadened to examine the operation of property cycles in global investment markets during the post-war period, focussing on their contribution to the diffusion of innovation, the accumulation of wealth and the propagation of market instability. Building Cycles: growth & instability concludes by synthesizing the main themes into a theoretical framework, which can guide our understanding of the operation and impact of building cycles on the modern economy. Postgraduate students on courses in property and in urban development as well as professional property researchers, urban economists and planners will find this a stimulating read – demanding but accessible.
Book Synopsis Multivariate Modelling of Non-Stationary Economic Time Series by : John Hunter
Download or read book Multivariate Modelling of Non-Stationary Economic Time Series written by John Hunter and published by Springer. This book was released on 2017-05-08 with total page 502 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines conventional time series in the context of stationary data prior to a discussion of cointegration, with a focus on multivariate models. The authors provide a detailed and extensive study of impulse responses and forecasting in the stationary and non-stationary context, considering small sample correction, volatility and the impact of different orders of integration. Models with expectations are considered along with alternate methods such as Singular Spectrum Analysis (SSA), the Kalman Filter and Structural Time Series, all in relation to cointegration. Using single equations methods to develop topics, and as examples of the notion of cointegration, Burke, Hunter, and Canepa provide direction and guidance to the now vast literature facing students and graduate economists.
Book Synopsis The Cointegrated VAR Model by : Katarina Juselius
Download or read book The Cointegrated VAR Model written by Katarina Juselius and published by Oxford University Press. This book was released on 2006-12-07 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt: This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of thecommon stochastic trends and the impulse response functions, providing in each case illustrations of applicability.This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory whilealso revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
Book Synopsis The Econometrics of Macroeconomic Modelling by : Gunnar Bårdsen
Download or read book The Econometrics of Macroeconomic Modelling written by Gunnar Bårdsen and published by Oxford University Press on Demand. This book was released on 2005 with total page 361 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work describes how the discipline has adapted to changing demands by adopting new insights from economic theory and by taking advantage of the methodological and conceptual advances within time series econometrics.
Book Synopsis Handbook of Research Methods and Applications in Empirical Macroeconomics by : Nigar Hashimzade
Download or read book Handbook of Research Methods and Applications in Empirical Macroeconomics written by Nigar Hashimzade and published by Edward Elgar Publishing. This book was released on 2013-01-01 with total page 627 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive Handbook presents the current state of art in the theory and methodology of macroeconomic data analysis. It is intended as a reference for graduate students and researchers interested in exploring new methodologies, but can also be employed as a graduate text. The Handbook concentrates on the most important issues, models and techniques for research in macroeconomics, and highlights the core methodologies and their empirical application in an accessible manner. Each chapter is largely self-contained, whilst the comprehensive introduction provides an overview of the key statistical concepts and methods. All of the chapters include the essential references for each topic and provide a sound guide for further reading. Topics covered include unit roots, non-linearities and structural breaks, time aggregation, forecasting, the Kalman filter, generalised method of moments, maximum likelihood and Bayesian estimation, vector autoregressive, dynamic stochastic general equilibrium and dynamic panel models. Presenting the most important models and techniques for empirical research, this Handbook will appeal to students, researchers and academics working in empirical macro and econometrics.
Book Synopsis Stochastic Volatility by : Neil Shephard
Download or read book Stochastic Volatility written by Neil Shephard and published by OUP Oxford. This book was released on 2005-03-10 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This book brings together some of the main papers that have influenced the field of the econometrics of stochastic volatility, and shows that the development of this subject has been highly multidisciplinary, with results drawn from financial economics, probability theory, and econometrics, blending to produce methods and models that have aided our understanding of the realistic pricing of options, efficient asset allocation, and accurate risk assessment. A lengthy introduction by the editor connects the papers with the literature.
Book Synopsis Micro-Econometrics for Policy, Program and Treatment Effects by : Myoung-jae Lee
Download or read book Micro-Econometrics for Policy, Program and Treatment Effects written by Myoung-jae Lee and published by OUP Oxford. This book was released on 2005-04-07 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: In many disciplines of science it is vital to know the effect of a 'treatment' on a response variable of interest; the effect being known as the 'treatment effect'. Here, the treatment can be a drug, an education program or an economic policy, and the response variable can be an illness, academic achievement or GDP. Once the effect is found, it is possible to intervene to adjust the treatment and attain a desired level of the response variable. A basic way to measure the treatment effect is to compare two groups, one of which received the treatment and the other did not. If the two groups are homogenous in all aspects other than their treatment status, then the difference between their response outcomes is the desired treatment effect. But if they differ in some aspects in addition to the treatment status, the difference in the response outcomes may be due to the combined influence of more than one factor. In non-experimental data where the treatment is not randomly assigned but self-selected, the subjects tend to differ in observed or unobserved characteristics. It is therefore imperative that the comparison be carried out with subjects similar in their characteristics. This book explains how this problem can be overcome so the attributable effect of the treatment can be found. This book brings to the fore recent advances in econometrics for treatment effects. The purpose of this book is to put together various economic treatments effect models in a coherent fashion, make it clear which can be parameters of interest, and show how they can be identified and estimated under weak assumptions. The emphasis throughout the book is on semi- and non-parametric estimation methods, but traditional parametric approaches are also discussed. This book is ideally suited to researchers and graduate students with a basic knowledge of econometrics.
Book Synopsis State Space and Unobserved Component Models by : Andrew Harvey
Download or read book State Space and Unobserved Component Models written by Andrew Harvey and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis State Space and Unobserved Component Models by : James Durbin
Download or read book State Space and Unobserved Component Models written by James Durbin and published by Cambridge University Press. This book was released on 2004-06-10 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive overview of developments in the theory and application of state space modeling, first published in 2004.
Book Synopsis The British National Bibliography by : Arthur James Wells
Download or read book The British National Bibliography written by Arthur James Wells and published by . This book was released on 2006 with total page 1884 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book CEPAL Review written by and published by . This book was released on 2009 with total page 626 pages. Available in PDF, EPUB and Kindle. Book excerpt:
