Unobserved Components and Time Series Econometrics

Edited by Siem Jan Koopman and Neil Shephard ()

in OUP Catalogue from Oxford University Press

Abstract: 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. Contributors to this volume - 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 Jyvaskyla 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 Jyvaskyla Pilar Poncela, Universidad Autonoma 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, Koc University

Date: 2015
ISBN: 9780199683666
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