Description

Book Synopsis
This book is concerned with modelling economic and social time series and with addressing the special problems which the treatment of such series pose. It is unique in its use of Kalman filtering with econometric and time series modelling.

Trade Review
'… if you're looking for a state of the art monograph on applied aspects of state-space representations, and Kalman filtering … then Harvey's book is required reading.' Econometric Theory

Table of Contents
List of figures; Acknowledgement; Preface; Notation and conventions; List of abbreviations; 1. Introduction; 2. Univariate time series models; 3. State space models and the Kalman filter; 4. Estimation, prediction and smoothing for univariate structural time series models; 5. Testing and model selection; 6. Extensions of the univariate model; 7. Explanatory variables; 8. Multivariate models; 9. Continuous time; Appendices; Selected answers to exercises; References; Author index; Subject index.

Forecasting Structural Time Series Models the Kalman Filter

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    A Hardback by Andrew C. Harvey

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      View other formats and editions of Forecasting Structural Time Series Models the Kalman Filter by Andrew C. Harvey

      Publisher: Cambridge University Press
      Publication Date: 2/22/1990 12:00:00 AM
      ISBN13: 9780521321969, 978-0521321969
      ISBN10: 0521321964
      Also in:
      Econometrics and economic statistics Probability and statistics

      Description

      Book Synopsis
      This book is concerned with modelling economic and social time series and with addressing the special problems which the treatment of such series pose. It is unique in its use of Kalman filtering with econometric and time series modelling.

      Trade Review
      '… if you're looking for a state of the art monograph on applied aspects of state-space representations, and Kalman filtering … then Harvey's book is required reading.' Econometric Theory

      Table of Contents
      List of figures; Acknowledgement; Preface; Notation and conventions; List of abbreviations; 1. Introduction; 2. Univariate time series models; 3. State space models and the Kalman filter; 4. Estimation, prediction and smoothing for univariate structural time series models; 5. Testing and model selection; 6. Extensions of the univariate model; 7. Explanatory variables; 8. Multivariate models; 9. Continuous time; Appendices; Selected answers to exercises; References; Author index; Subject index.

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