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Forecasting, Structural Time Series Models and the Kalman Filter - Andrew C. Harvey

Forecasting, Structural Time Series Models and the Kalman Filter

Paperback

Published: 29th April 1991
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This book provides a synthesis of concepts and materials that ordinarily appear separately in time series and econometrics literature, presenting a comprehensive review of both theoretical and applied concepts. Perhaps the most novel feature of the book is its use of Kalman filtering together with econometric and time series methodology. From a technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. This technique was originally developed in control engineering but is becoming increasingly important in economics and operations research. The book is primarily concerned with modeling economic and social time series and with addressing the special problems that the treatment of such series pose.

'... 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

List of figures
Acknowledgement
Preface
Notation and conventions
List of abbreviations
Introduction
Univariate time series models
State space models and the Kalman filter
Estimation, prediction and smoothing for univariate structural time series models
Testing and model selection
Extensions of the univariate model
Explanatory variables
Multivariate models
Continuous time
Appendices
Selected answers to exercises
References
Author index
Subject index
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780521405737
ISBN-10: 0521405734
Audience: Professional
Format: Paperback
Language: English
Number Of Pages: 572
Published: 29th April 1991
Publisher: CAMBRIDGE UNIV PR
Country of Publication: GB
Dimensions (cm): 23.11 x 15.22  x 3.58
Weight (kg): 0.81