ABSTRACT

Despite the unobserved components model (UCM) having many advantages over more popular forecasting techniques based on regression analysis, exponential smoothing, and ARIMA, the UCM is not well known among practitioners outside the academic community. Time Series Modelling with Unobserved Components rectifies this deficiency by giving a practical o

part |2 pages

I Statistical prediction and time series

chapter 1|12 pages

Statistical Prediction

chapter 2|34 pages

Time Series Concepts

part |2 pages

II Unobserved components

chapter 3|22 pages

Unobserved Components Model

chapter 4|18 pages

Regressors and Interventions

chapter 5|46 pages

Estimation

chapter 6|28 pages

Modelling

chapter 7|12 pages

Multivariate Models

part |2 pages

III Applications

chapter 8|20 pages

Business Cycle Analysis with UCM

chapter 9|16 pages

Case Studies

chapter 10|32 pages

Software for UCM