Advanced Search
MyIDEAS: Login

An Introduction to State Space Time Series Analysis

Contents:

Author Info

  • Commandeur, Jacques J.F.

    (Senior Researcher, SWOV Institute for Road Safety Research, Leidschendam, The Netherlands)

  • Koopman, Siem Jan

    (Professor of Econometrics, Vrije Universiteit, The Netherlands)

Abstract

Providing a practical introduction to state space methods as applied to unobserved components time series models, also known as structural time series models, this book introduces time series analysis using state space methodology to readers who are neither familiar with time series analysis, nor with state space methods. The only background required in order to understand the material presented in the book is a basic knowledge of classical linear regression models, of which a brief review is provided to refresh the reader's knowledge. Also, a few sections assume familiarity with matrix algebra, however, these sections may be skipped without losing the flow of the exposition. The book offers a step by step approach to the analysis of the salient features in time series such as the trend, seasonal, and irregular components. Practical problems such as forecasting and missing values are treated in some detail. This useful book will appeal to practitioners and researchers who use time series on a daily basis in areas such as the social sciences, quantitative history, biology and medicine. It also serves as an accompanying textbook for a basic time series course in econometrics and statistics, typically at an advanced undergraduate level or graduate level.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

as in new window
This book is provided by Oxford University Press in its series OUP Catalogue with number 9780199228874 and published in 2007.

ISBN: 9780199228874
Order: http://ukcatalogue.oup.com/product/9780199228874.do
Handle: RePEc:oxp:obooks:9780199228874

Contact details of provider:
Web page: http://www.oup.com/

Order Information:
Web: http://www.oup.com/

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. John M. Nunley & Richard Alan Seals Jr. & Joachim Zietz, 2011. "The Impact of Macroeconomic Conditions on Property Crime," Auburn Economics Working Paper Series auwp2011-06, Department of Economics, Auburn University.
  2. Suncica Vujic & Jacques Commandeur & Siem Jan Koopman, 2012. "Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia," Tinbergen Institute Discussion Papers 12-007/4, Tinbergen Institute.
  3. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
  4. Siem Jan Koopman & Kai Ming Lee, 2008. "Seasonality with Trend and Cycle Interactions in Unobserved Components Models," Tinbergen Institute Discussion Papers 08-028/4, Tinbergen Institute.
  5. Thomas Doan, . "State Space Methods in RATS," Journal of Statistical Software, American Statistical Association, vol. 41(i09).
  6. Filip A. M. Van den Bossche, . "Fitting State Space Models with EViews," Journal of Statistical Software, American Statistical Association, vol. 41(i08).
  7. Karanfil, Fatih & Yeddir-Tamsamani, Yasser, 2010. "Is technological change biased toward energy? A multi-sectoral analysis for the French economy," Energy Policy, Elsevier, vol. 38(4), pages 1842-1850, April.
  8. Matteo M. Pelagatti, . "State Space Methods in Ox/SsfPack," Journal of Statistical Software, American Statistical Association, vol. 41(i03).
  9. Miller, Tom W. & Sabbarese, Donald, 2012. "An Economic Indicator for the State of the Economy in the Southeastern U.S," Journal of Regional Analysis and Policy, Mid-Continent Regional Science Association, vol. 42(1).
  10. Suncica Vujic & Siem Jan Koopman & Jacques J. F. Commandeur, 2012. "Economic Trends and Cycles in Crime: A Study for England and Wales," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 232(6), pages 652-677, November.
  11. Paradiso, Antonio & Rao, B. Bhaskara, 2011. "Flattening of the Phillips Curve and the Role of Oil Price: An Unobserved Components Model for the USA and Australia," MPRA Paper 29606, University Library of Munich, Germany.
  12. Rueda, Cristina & Rodríguez, Pilar, 2010. "State space models for estimating and forecasting fertility," International Journal of Forecasting, Elsevier, vol. 26(4), pages 712-724, October.
  13. Zafer Dilaver & Lester C Hunt, 2010. "Industrial Electricity Demand for Turkey: A Structural Time Series Analysis," Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS) 129, Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey.
  14. Müller-Plantenberg, Nikolas, 2012. "Balance of payments flows and exchange rate prediction in Japan," Working Papers in Economic Theory 2012/09, Universidad Autónoma de Madrid (Spain), Department of Economic Analysis (Economic Theory and Economic History).
  15. Song, Haiyan & Li, Gang & Witt, Stephen F. & Athanasopoulos, George, 2011. "Forecasting tourist arrivals using time-varying parameter structural time series models," International Journal of Forecasting, Elsevier, vol. 27(3), pages 855-869, July.
  16. Jacques J. F. Commandeur & Siem Jan Koopman & Marius Ooms, . "Statistical Software for State Space Methods," Journal of Statistical Software, American Statistical Association, vol. 41(i01).

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:oxp:obooks:9780199228874

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Economics Book Marketing).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.