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| Título : |
Unobserved components and time series econometrics |
| Tipo de documento: |
TEXTO IMPRESO |
| Autores: |
Siem Jan Koopman, Editor científico ; Neil Shephard, Editor científico |
| Editorial: |
Oxford [Inglaterra] : Oxford University Press |
| Fecha de publicación: |
2015 |
| Número de páginas: |
xvii, 370 p. |
| Dimensiones: |
24 cm. |
| ISBN/ISSN/DL: |
978-0-19-968366-6 |
| Idioma : |
Inglés (eng) |
| Clasificación: |
Econometría ; Series temporales
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| Clasificación: |
330.43 Econometría |
| Nota de contenido: |
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 ?-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
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| Link: |
http://www.biblioeco.unsa.edu.ar/pmb/opac_css/index.php?lvl=notice_display&id=40 |
| Ubicación : |
330.43 K75 |
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