Signal Extraction and Likelihood Inference for Linear UC Models

1. Introduction
2. Prediction Theory for Autoregressive-Moving Average Processes , P. Burridge and K.F. Wallis
3. Exact Initial Kalman Filtering and Smoothing for Non-stationary Time Series Models , S.J. Koopman
4. Smoothing and Interpolation with the State Space Model , P. de Jong
5. Diagnostic Checking of Unobserved Components in Time Series Models , A.C. Harvey and S.J. Koopman
6. Nonparametric Spline Regression with Autoregressive Moving Average Errors , R. Kohn, C.F. Ansley and C. Wong

Unobserved Components in Economic Time Series

7. Introduction
8. Univariate Detrending Methods with Stochastic Trends , M.W. Watson
9. Detrending, Stylized Facts and the Business Cycle , A.C. Harvey and A. Jaeger
10. Stochastic Linear Trends, Models and Estimators , A. Maravall
11. Estimation and Seasonal Adjustment of Population Means Using Data from Repeated Surveys , D. Pfeffermann
12. The Modelling and Seasonal Adjustment of Weekly Observations , A.C. Harvey , S.J. Koopman and M. Riani

Testing in Unobserved Components Models

13. Introduction
14. Testing for Deterministic Linear Trends in a Times Series , J. Nyblom
15. Are Seasonal Patterns Stable Over Time? A Test for Seasonal Stability , F. Canova and B.E. Hansen

Non-Linear and Non- Gaussian Models

16. Introduction
17. Times Series Models for Count Data or Qualitative Observations , A.C. Harvey and C. Fernandes
18. On Gibbs Sampling for State Space Models , Carter and Kohn
19. The Simulation Smoother , P. de Jong and N. Shephard
20. Likelihood Analysis of Non-Gaussian Measurement Time Series , N. Shephard and M.K. Pitt
21. Time Series Analysis of Non-Gaussian Observations based on State Space Models from both Classical and Bayesian Perspectives , J. Durbin and S.J. Koopman
22. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models , S. Kim, N. Shephard, and S. Chib
23. On Sequential Monte Carlo Sampling Methods for Bayesian Filtering , A. Doucet, S.J. Godsill, and C. Andrieu