Readings in unobserved components models /:
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 con...
Gespeichert in:
| Weitere Verfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Oxford ; New York :
Oxford University Press,
2005.
|
| Schriftenreihe: | Advanced texts in econometrics.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 online resource (xv, 458 pages) : illustrations |
| Bibliographie: | Includes bibliographical references and indexes. |
| ISBN: | 9781429469463 1429469463 9780199278695 0199278695 9780199278657 0199278652 9780191515545 019151554X 9786610844067 6610844062 |
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| 245 | 0 | 0 | |a Readings in unobserved components models / |c edited by Andrew C. Harvey and Tommaso Proietti. |
| 260 | |a Oxford ; |a New York : |b Oxford University Press, |c 2005. | ||
| 300 | |a 1 online resource (xv, 458 pages) : |b illustrations | ||
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| 490 | 1 | |a Advanced texts in econometrics | |
| 504 | |a Includes bibliographical references and indexes. | ||
| 505 | 0 | 0 | |g PART ONE: SIGNAL EXTRACTION AND LIKELIHOOD INFERENCE FOR LINEAR UC MODELS -- |t Prediction theory for autoregressive-moving average processes / |r Peter Burridge, |r Kenneth F. Wallis -- |t Exact initial Kalman filtering and smoothing for nonstationary time series models / |r Siem Jan Koopman -- |t Smoothing and interpolation with the state-space model / |r Piet De Jong -- |t Diagnostic checking of unobserved-components time series models / |r Andrew C. Harvey, |r Siem Jan Koopman -- |t Nonparametric spline regression with autoregressive moving average errors / |r Robert Kohn [and others] -- |g PART TWO: UNOBSERVED COMPONENTS IN ECONOMIC TIME SERIES -- |t Univariate detrending methods with stochastic trends / |r Mark W. Watson -- |t Detrending, stylized facts and the business cycle / |r A.C. Harvey, |r A. Jaeger -- |t Stochastic linear trends: models and estimators / |r Augustín Maravall -- |t Estimation and seasonal adjustment of population means using data from repeated surveys / |r Danny Pfeffermann -- |t The modeling and seasonal adjustment of weekly observations / |r Andrew Harvey [and others] -- |g PART THREE: TESTING IN UNOBSERVED COMPONENTS MODELS -- |t Testing for deterministic linear trend in time series / |r Jukka Nyblom -- |t Are seasonal patterns constant over time? A test for seasonal stability / |r Fabio Canova, |r Bruce E. Hansen -- |g PART FOUR: NON-LINEAR AND NON-GAUSSIAN MODELS -- |t Time series models for count or qualitative observations / |r A.C. Harvey, |r C. Fernandes -- |t On Gibbs sampling for state space models / |r C.K. Carter, |r R. Kohn -- |t The simulation smoother for time series models / |r Piet De Jong, |r Neil Shephard -- |t Likelihood analysis of non-Gaussian measurement time series / |r Neil Shephard, |r Michael K. Pitt -- |t Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives / |r J. Durbin, |r S.J. Koopman -- |t On sequential Monte Carlo sampling methods for Bayesian filtering / |r Arnaud Doucet [and others]. |
| 588 | 0 | |a Print version record. | |
| 520 | |a 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. | ||
| 650 | 0 | |a Econometric models. |0 http://id.loc.gov/authorities/subjects/sh85040762 | |
| 650 | 6 | |a Modèles économétriques. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Econometrics. |2 bisacsh | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Statistics. |2 bisacsh | |
| 650 | 7 | |a Econometric models |2 fast | |
| 650 | 1 | 7 | |a Econometrische modellen. |2 gtt |
| 653 | |a Unobserved components models. | ||
| 700 | 1 | |a Harvey, A. C. |q (Andrew C.) |1 https://id.oclc.org/worldcat/entity/E39PBJxxj79qDhWGrRQTFHdbBP |0 http://id.loc.gov/authorities/names/n81064640 | |
| 700 | 1 | |a Proietti, Tommaso, |d 1964- |1 https://id.oclc.org/worldcat/entity/E39PBJxCDTvKWfVtKcwG9hjQv3 |0 http://id.loc.gov/authorities/names/nr2003008421 | |
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| 830 | 0 | |a Advanced texts in econometrics. |0 http://id.loc.gov/authorities/names/n91107308 | |
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Datensatz im Suchindex
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| _version_ | 1816796896113459200 |
| adam_text | |
| any_adam_object | |
| author2 | Harvey, A. C. (Andrew C.) Proietti, Tommaso, 1964- |
| author2_role | |
| author2_variant | a c h ac ach t p tp |
| author_GND | http://id.loc.gov/authorities/names/n81064640 http://id.loc.gov/authorities/names/nr2003008421 |
| author_additional | Peter Burridge, Kenneth F. Wallis -- Siem Jan Koopman -- Piet De Jong -- Andrew C. Harvey, Robert Kohn [and others] -- Mark W. Watson -- A.C. Harvey, A. Jaeger -- Augustín Maravall -- Danny Pfeffermann -- Andrew Harvey [and others] -- Jukka Nyblom -- Fabio Canova, Bruce E. Hansen -- C. Fernandes -- C.K. Carter, R. Kohn -- Piet De Jong, Neil Shephard -- Neil Shephard, Michael K. Pitt -- J. Durbin, S.J. Koopman -- Arnaud Doucet [and others]. |
| author_facet | Harvey, A. C. (Andrew C.) Proietti, Tommaso, 1964- |
| author_sort | Harvey, A. C. |
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| callnumber-search | HB141 .R393 2005eb |
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| callnumber-subject | HB - Economic Theory and Demography |
| collection | ZDB-4-EBU |
| contents | Prediction theory for autoregressive-moving average processes / Exact initial Kalman filtering and smoothing for nonstationary time series models / Smoothing and interpolation with the state-space model / Diagnostic checking of unobserved-components time series models / Nonparametric spline regression with autoregressive moving average errors / Univariate detrending methods with stochastic trends / Detrending, stylized facts and the business cycle / Stochastic linear trends: models and estimators / Estimation and seasonal adjustment of population means using data from repeated surveys / The modeling and seasonal adjustment of weekly observations / Testing for deterministic linear trend in time series / Are seasonal patterns constant over time? A test for seasonal stability / Time series models for count or qualitative observations / On Gibbs sampling for state space models / The simulation smoother for time series models / Likelihood analysis of non-Gaussian measurement time series / Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives / On sequential Monte Carlo sampling methods for Bayesian filtering / |
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| dewey-ones | 330 - Economics |
| dewey-raw | 330/.01/51955 |
| dewey-search | 330/.01/51955 |
| dewey-sort | 3330 11 551955 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
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| id | ZDB-4-EBU-ocn133090039 |
| illustrated | Illustrated |
| indexdate | 2024-11-26T14:48:57Z |
| institution | BVB |
| isbn | 9781429469463 1429469463 9780199278695 0199278695 9780199278657 0199278652 9780191515545 019151554X 9786610844067 6610844062 |
| language | English |
| oclc_num | 133090039 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (xv, 458 pages) : illustrations |
| psigel | ZDB-4-EBU |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | Oxford University Press, |
| record_format | marc |
| series | Advanced texts in econometrics. |
| series2 | Advanced texts in econometrics |
| spelling | Readings in unobserved components models / edited by Andrew C. Harvey and Tommaso Proietti. Oxford ; New York : Oxford University Press, 2005. 1 online resource (xv, 458 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier polychrome. rdacc http://rdaregistry.info/termList/RDAColourContent/1003 text file rdaft http://rdaregistry.info/termList/fileType/1002 Advanced texts in econometrics Includes bibliographical references and indexes. PART ONE: SIGNAL EXTRACTION AND LIKELIHOOD INFERENCE FOR LINEAR UC MODELS -- Prediction theory for autoregressive-moving average processes / Peter Burridge, Kenneth F. Wallis -- Exact initial Kalman filtering and smoothing for nonstationary time series models / Siem Jan Koopman -- Smoothing and interpolation with the state-space model / Piet De Jong -- Diagnostic checking of unobserved-components time series models / Andrew C. Harvey, Siem Jan Koopman -- Nonparametric spline regression with autoregressive moving average errors / Robert Kohn [and others] -- PART TWO: UNOBSERVED COMPONENTS IN ECONOMIC TIME SERIES -- Univariate detrending methods with stochastic trends / Mark W. Watson -- Detrending, stylized facts and the business cycle / A.C. Harvey, A. Jaeger -- Stochastic linear trends: models and estimators / Augustín Maravall -- Estimation and seasonal adjustment of population means using data from repeated surveys / Danny Pfeffermann -- The modeling and seasonal adjustment of weekly observations / Andrew Harvey [and others] -- PART THREE: TESTING IN UNOBSERVED COMPONENTS MODELS -- Testing for deterministic linear trend in time series / Jukka Nyblom -- Are seasonal patterns constant over time? A test for seasonal stability / Fabio Canova, Bruce E. Hansen -- PART FOUR: NON-LINEAR AND NON-GAUSSIAN MODELS -- Time series models for count or qualitative observations / A.C. Harvey, C. Fernandes -- On Gibbs sampling for state space models / C.K. Carter, R. Kohn -- The simulation smoother for time series models / Piet De Jong, Neil Shephard -- Likelihood analysis of non-Gaussian measurement time series / Neil Shephard, Michael K. Pitt -- Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives / J. Durbin, S.J. Koopman -- On sequential Monte Carlo sampling methods for Bayesian filtering / Arnaud Doucet [and others]. Print version record. 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. Econometric models. http://id.loc.gov/authorities/subjects/sh85040762 Modèles économétriques. BUSINESS & ECONOMICS Econometrics. bisacsh BUSINESS & ECONOMICS Statistics. bisacsh Econometric models fast Econometrische modellen. gtt Unobserved components models. Harvey, A. C. (Andrew C.) https://id.oclc.org/worldcat/entity/E39PBJxxj79qDhWGrRQTFHdbBP http://id.loc.gov/authorities/names/n81064640 Proietti, Tommaso, 1964- https://id.oclc.org/worldcat/entity/E39PBJxCDTvKWfVtKcwG9hjQv3 http://id.loc.gov/authorities/names/nr2003008421 has work: Readings in unobserved components models (Text) https://id.oclc.org/worldcat/entity/E39PCGhHJBx3Jfp6YCFFVfvd8K https://id.oclc.org/worldcat/ontology/hasWork Print version: Readings in unobserved components models. Oxford ; New York : Oxford University Press, 2005 0199278652 9780199278657 (DLC) 2004027318 (OCoLC)57002392 Advanced texts in econometrics. http://id.loc.gov/authorities/names/n91107308 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=191292 Volltext |
| spellingShingle | Readings in unobserved components models / Advanced texts in econometrics. Prediction theory for autoregressive-moving average processes / Exact initial Kalman filtering and smoothing for nonstationary time series models / Smoothing and interpolation with the state-space model / Diagnostic checking of unobserved-components time series models / Nonparametric spline regression with autoregressive moving average errors / Univariate detrending methods with stochastic trends / Detrending, stylized facts and the business cycle / Stochastic linear trends: models and estimators / Estimation and seasonal adjustment of population means using data from repeated surveys / The modeling and seasonal adjustment of weekly observations / Testing for deterministic linear trend in time series / Are seasonal patterns constant over time? A test for seasonal stability / Time series models for count or qualitative observations / On Gibbs sampling for state space models / The simulation smoother for time series models / Likelihood analysis of non-Gaussian measurement time series / Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives / On sequential Monte Carlo sampling methods for Bayesian filtering / Econometric models. http://id.loc.gov/authorities/subjects/sh85040762 Modèles économétriques. BUSINESS & ECONOMICS Econometrics. bisacsh BUSINESS & ECONOMICS Statistics. bisacsh Econometric models fast Econometrische modellen. gtt |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85040762 |
| title | Readings in unobserved components models / |
| title_alt | Prediction theory for autoregressive-moving average processes / Exact initial Kalman filtering and smoothing for nonstationary time series models / Smoothing and interpolation with the state-space model / Diagnostic checking of unobserved-components time series models / Nonparametric spline regression with autoregressive moving average errors / Univariate detrending methods with stochastic trends / Detrending, stylized facts and the business cycle / Stochastic linear trends: models and estimators / Estimation and seasonal adjustment of population means using data from repeated surveys / The modeling and seasonal adjustment of weekly observations / Testing for deterministic linear trend in time series / Are seasonal patterns constant over time? A test for seasonal stability / Time series models for count or qualitative observations / On Gibbs sampling for state space models / The simulation smoother for time series models / Likelihood analysis of non-Gaussian measurement time series / Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives / On sequential Monte Carlo sampling methods for Bayesian filtering / |
| title_auth | Readings in unobserved components models / |
| title_exact_search | Readings in unobserved components models / |
| title_full | Readings in unobserved components models / edited by Andrew C. Harvey and Tommaso Proietti. |
| title_fullStr | Readings in unobserved components models / edited by Andrew C. Harvey and Tommaso Proietti. |
| title_full_unstemmed | Readings in unobserved components models / edited by Andrew C. Harvey and Tommaso Proietti. |
| title_short | Readings in unobserved components models / |
| title_sort | readings in unobserved components models |
| topic | Econometric models. http://id.loc.gov/authorities/subjects/sh85040762 Modèles économétriques. BUSINESS & ECONOMICS Econometrics. bisacsh BUSINESS & ECONOMICS Statistics. bisacsh Econometric models fast Econometrische modellen. gtt |
| topic_facet | Econometric models. Modèles économétriques. BUSINESS & ECONOMICS Econometrics. BUSINESS & ECONOMICS Statistics. Econometric models Econometrische modellen. |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=191292 |
| work_keys_str_mv | AT harveyac readingsinunobservedcomponentsmodels AT proiettitommaso readingsinunobservedcomponentsmodels |