An Introduction to State Space Time Series Analysis
Series: Practical Econometrics;
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Product details:
- Publisher OUP Oxford
- Date of Publication 19 July 2007
- ISBN 9780199228874
- Binding Hardback
- No. of pages192 pages
- Size 241x165x15 mm
- Weight 433 g
- Language English
- Illustrations numerous tables and figures 0
Categories
Short description:
This text provides an introduction to time series analysis using state space methodology to readers who are neither familiar with time series analysis, nor with state space methods. This is the first in a series of books designed to provide practitioners, researchers, and students with practical introductions to various topics in econometrics.
MoreLong description:
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.
a fascinating read...excellent
Table of Contents:
Introduction
The Local Level Model
The Local Linear Trend Model
The Local Level Model with Seasonal
The Local Level Model with Explanatory Variable
The Local Level Model with Intervention Variable
The UK Seat Belt and Inflation Models
General Treatment of Univariate State Space Models
Multivariate Time Series Analysis
State Space and Box-Jenkins Methods for Time Series Analysis
State Space Modelling in Practice
Conclusions
Appendix A UK Drivers KSI and Petrol Price
Appendix B Road Traffic Fatalities in Norway and Finland
Appendix C UK Front and Rear Seat Passengers KSI
Appendix D UK Price Changes
