Unobserved Components and Time Series Econometrics Siem Jan Koopman
Publisher: Oxford University Press

Koopman, Siem Jan, and Neil Shephard. Structural time series models are formulated in terms of components, such as trends, seasonals and cycles, that have a direct interpretation. (Head of State Space and Unobserved Component Time Series Models, (with S J Koopman and N. VU University Amsterdam, Department of Econometrics. State Space and Unobserved Component Models: Theory and Applications: 9780521835954: Unobserved Components and Time Series Econometrics. Professor of Econometrics, London School of Economics. Unobserved Components and Time Series Econometrics. FEWEB Unobserved components time series models have a natural state space representation. Forecasting daily time series using periodic unobserved components time series models. Time series data is generated by marketers as they monitor “sales by month” and by several of the features of Proc UCM, new in the Econometrics and Time.