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Readings in Unobserved Components Models

Editor

Listed:
  • Harvey, Andrew
    (Professor of Econometrics, University of Cambridge)

  • Proietti, Tommaso
    (Professor of Economic Statistics, University of Udine, Italy)

Abstract

Contributors to this volume - P. Burridge and K.F. Wallis S.J. Koopman P. de Jong A.C. Harvey and S.J. Koopman R. Kohn, C.F. Ansley and C. Wong M.W. Watson A.C. Harvey and A. Jaeger A. Maravall D. Pfeffermann A.C. Harvey, S.J. Koopman and M. Riani J. Nyblom F. Canova and B.E. Hansen A.C. Harvey and C. Fernandes Carter and Kohn P. de Jong and N. Shephard N. Shephard and M.K. Pitt J. Durbin and S.J. Koopman S. Kim, N. Shephard, and S. Chib A. Doucet, S.J. Godsill, and C. Andrieu

Suggested Citation

  • Harvey, Andrew & Proietti, Tommaso (ed.), 2005. "Readings in Unobserved Components Models," OUP Catalogue, Oxford University Press, number 9780199278695.
  • Handle: RePEc:oxp:obooks:9780199278695
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    Citations

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    Cited by:

    1. Proietti, Tommaso & Riani, Marco, 2007. "Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies," MPRA Paper 7862, University Library of Munich, Germany.
    2. Marco Cacciotti & Cecilia Frale & Serena Teobaldo, 2013. "A new methodology for a quarterly measure of the Output Gap," Working Papers LuissLab 13103, Dipartimento di Economia e Finanza, LUISS Guido Carli.
    3. Paulo M. Sánchez & Luis Fernando Melo, 2013. "Combinación de brechas del producto colombiano," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 31(72), pages 74-82, December.
    4. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
    5. Tommaso Proietti & Marco Riani, 2009. "Transformations and seasonal adjustment," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 47-69, January.
    6. Davide Delle Monache & Stefano Grassi & Paolo Santucci, 2015. "Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach," Studies in Economics 1511, School of Economics, University of Kent.
    7. Prates, Daniela Magalhães & Cunha, André Moreira & Lélis, Marcos Tadeo Caputi, 2009. "Exchange-rate management in Brazil," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), December.
    8. Javid, Muhammad & Qayyum, Abdul, 2014. "Electricity consumption-GDP nexus in Pakistan: A structural time series analysis," Energy, Elsevier, vol. 64(C), pages 811-817.
    9. Tommaso Proietti & Alessandra Luati, 2013. "Maximum likelihood estimation of time series models: the Kalman filter and beyond," Chapters,in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 15, pages 334-362 Edward Elgar Publishing.
    10. Dissanayake, G.S. & Peiris, M.S. & Proietti, T., 2016. "State space modeling of Gegenbauer processes with long memory," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 115-130.
    11. repec:mes:postke:v:40:y:2017:i:2:p:203-222 is not listed on IDEAS
    12. Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2008. "A Monthly Indicator of the Euro Area GDP," Economics Working Papers ECO2008/32, European University Institute.
    13. Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2010. "Survey data as coincident or leading indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 109-131.
    14. Proietti, Tommaso, 2008. "Structural Time Series Models for Business Cycle Analysis," MPRA Paper 6854, University Library of Munich, Germany.
    15. Dilaver, Zafer & Hunt, Lester C., 2011. "Industrial electricity demand for Turkey: A structural time series analysis," Energy Economics, Elsevier, vol. 33(3), pages 426-436, May.
    16. Davide Delle Monache & Stefano Grassi & Paolo Santucci de Magistris, 0404. "Does the ARFIMA really shift?," CREATES Research Papers 2017-16, Department of Economics and Business Economics, Aarhus University.
    17. Hansen, Peter R. & Lunde, Asger, 2014. "Estimating The Persistence And The Autocorrelation Function Of A Time Series That Is Measured With Error," Econometric Theory, Cambridge University Press, vol. 30(01), pages 60-93, February.
    18. Mauro Bernardi & Leopoldo Catania, 2016. "Portfolio Optimisation Under Flexible Dynamic Dependence Modelling," Papers 1601.05199, arXiv.org.
    19. Jogeir Myklebust & Asgeir Tomasgard & Sjur Westgaard, 2010. "Forecasting gas component prices with multivariate structural time series models," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 34(2), pages 82-106, June.

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