Readings in unobserved components models

A. C. Harvey

"This book presents a collection of readings which give the reader an idea of the nature and scope of unobserved components (UC) models and the methods used to deal with them. It contains four parts, three of which concern recent theoretical developments in classical and Bayesian estimation of linear, non-linear, and non-Gaussian UC models, signal extraction and testing, and one is devoted to selected econometric applications." "The book is intended to give a relatively self-contained presentation of the methods and applicative issues. For this purpose, each part comes with an introductory chapter by the editors to provide a unified view of the literature and the many important developments that have occurred in the last years."--BOOK JACKET

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