Structural Time Series Modelling: Applications in Economics and Finance

Moosa, I 2006, Structural Time Series Modelling: Applications in Economics and Finance , The ICFAI University Press, Hyderabad, India.


Document type: Book
Collection: Books

Title Structural Time Series Modelling: Applications in Economics and Finance
Author(s) Moosa, I
Year 2006
Publisher The ICFAI University Press
Place of publication Hyderabad, India
Subjects Econometrics not elsewhere classified
Summary I developed interest in structural time series analysis, which is the subject matter of this book, by sheer coincidence. In the early 1990s I was working on the sources and effects of bank deposit variability when the need arose for a technique whereby deposit variability could be split up into anticipated and unanticipated components. One of my colleagues at the University of Sheffield came to my rescue by giving me a disk containing the first version of STAMP, a computer program that is based on Andrew Harvey's (1989) work on structural time series modelling. For some reason, I did not use the program for that purpose, and it vanished in one of my drawers. Almost two years later (I had moved to Australia by that time), I found the disk and decided to play around with it, particularly after I read the interesting paper of Harvey and Scott (1994). I was rather impressed by this type of Econometrics that I was not familiar with hitherto. I realised that I could do a lot of things with the technique, and I have become increasingly interested in it ever . since. In 2002, I organised a workshop on the topic at La Trobe University (Melbourne), which was attended by Andrew Harvey, the founder of structural time series modelling. Meeting Andrew did nothing less than boosting my belief in the power of this methodology.
Copyright notice © 2006 Imad A Moosa/The ICFAI University Press
ISBN 8131400565
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