Unobserved Components and Time Series Econometrics

by Koopman, Siem Jan; Shephard, Neil

• ISBN13: 9780191763298
• ISBN10: 0191763292
• Format: eBook
• Copyright: 2015-07-10
• Publisher: Oxford University Press

Author Biography

Siem Jan Koopman, Professor of Econometrics, VU University Amsterdam,Neil Shephard, Professor of Economics and of Statistics, Harvard University

Siem Jan Koopman is a Professor of Econometrics at the VU University Amsterdam and Research Fellow at the Tinbergen Institute. Furthermore, he is a Visiting Professor at CREATES, University of Aarhus and a Visiting Researcher at the European Central Bank, Financial Research. He has held positions at LSE and Tilburg University, and has been a Research Fellow at the US Bureau of the Census, Washington DC, and a Fernand Braudel Senior Fellow at the European University Institute, Florence.

Neil Shephard is Professor of Economics and of Statistics at Harvard University. He previously was a faculty member at the LSE and Oxford University. He was elected a Fellow of the Econometric Society in 2004 and a Fellow of the British Academy in 2006. He received an honourary doctorate in economics from Aarhus University in 2009. He was award the Richard Stone Prize in Applied Econometrics in 2012. He has been an associate editor of the academic journal Econometrica since 2002. He has previously been on the editorial boards of, for example, Review of Economic Studies, Biometrika and JRSSB.

Table of Contents

1. Introduction, Siem Jan Koopman and Neil Shephard
2. The Development of a Time Series Methodology: from Recursive Residuals to Dynamic Conditional Score Models, Andrew Harvey
3. A State-Dependent Model for Inflation Forecasting, Andrea Stella and James H. Stock
4. Measuring the Tracking Error of Exchange Traded Funds, Giuliano De Rossi
5. Measuring the Dynamics of Global Business Cycle Connectedness, Francis X. Diebold and Kamil Yilmaz
6. Inferring and Predicting Global Temperature Trends, Craig Ansley and Piet de Jong
7. Forecasting the Boat Race, Geert Mesters and Siem Jan Koopman
8. Tests for Serial Dependence in Static, Non-Gaussian Factor Models, Gabriele Fiorentini and Enrique Sentana
9. Inference for Models with Asymmetric α-Stable Noise Processes, Tatjana Lemke and Simon J. Godsill
10. Martingale Unobserved Component Models, Neil Shephard
11. More is Not Always Better: Kalman Filtering in Dynamic Factor Models, Pilar Poncela and Esther Ruiz
12. On Detecting End-of-Sample Instabilities, Fabio Busetti
13. Improved Frequentist Prediction Intervals for Autoregressive Models by Simulation, Jouni Helske and Jukka Nyblom
14. The Superiority of the LM Test in a Class of Econometric Models Where the Wald Test Performs Poorly, Jun Ma and Charles R. Nelson
15. Generalised Linear Spectral Models, Tommaso Proietti and Alessandra Luati