Jump to ContentJump to Main Navigation

You are looking at 1-3 of 3 items

  • Keywords: unobserved components x
Clear All Modify Search

View:

Introduction

Siem Jan Koopman and Neil Shephard

in Unobserved Components and Time Series Econometrics

Published in print:
2015
Published Online:
January 2016
ISBN:
9780199683666
eISBN:
9780191763298
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199683666.003.0001
Subject:
Economics and Finance, Econometrics

This introduction to unobserved components and time series econometrics outlines the structure of the book, briefly explaining what each chapter focuses on. Summarizing each chapter, the introduction ... More


Time Series Analysis by State Space Methods: Second Edition

James Durbin and Siem Jan Koopman

Published in print:
2012
Published Online:
December 2013
ISBN:
9780199641178
eISBN:
9780191774881
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199641178.001.0001
Subject:
Mathematics, Probability / Statistics

This book presents a comprehensive treatment of the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are regarded as ... More


The development of a time series methodology: from recursive residuals to dynamic conditional score models

Andrew Harvey

in Unobserved Components and Time Series Econometrics

Published in print:
2015
Published Online:
January 2016
ISBN:
9780199683666
eISBN:
9780191763298
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199683666.003.0002
Subject:
Economics and Finance, Econometrics

This chapter discusses the developments in unobserved components time series models and their statistical and econometric treatments from the early 1970s to the present day.


View: