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Unobserved Components and Time Series Econometrics
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Unobserved Components and Time Series Econometrics

Siem Jan Koopman and Neil Shephard

Abstract

This book is a tribute to Professor Andrew Harvey, who has been an active researcher for four decades, writing on many aspects of time series modeling with a particular focus on economic and more recently financial applications. As well as generating path breaking research articles, he has been unusually influential in writing research monographs and textbooks, and building and documenting software. A distinctive voice, he is perhaps the most influential scholar in the area of time series modeling using unobserved components in economics. This book covers three main topics: the theory and meth ... More

Keywords: time series, dynamic models, latent variables, Kalman filter, econometrics, economics, finance

Bibliographic Information

Print publication date: 2015 Print ISBN-13: 9780199683666
Published to Oxford Scholarship Online: January 2016 DOI:10.1093/acprof:oso/9780199683666.001.0001

Authors

Affiliations are at time of print publication.

Siem Jan Koopman, editor
Professor of Econometrics, VU University Amsterdam

Neil Shephard, editor
Professor of Economics and of Statistics, Harvard University

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Contents

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1 Introduction

Siem Jan Koopman and Neil Shephard

3 A state-dependent model for inflation forecasting

Andrea Stella and James H. Stock

Chapter 7 Forecasting the Boat Race

Geert Mesters and Siem Jan Koopman

Chapter 15 Generalized linear spectral models

Tommaso Proietti and Alessandra Luati

End Matter