Harvey, Forecasting, structural time series,...

[TomDoan]

The attached zip has the worked examples from Harvey's Forecasting, structural time series and the Kalman filter, Cambridge Univ. Press, 1989. Most of these are applications of what Harvey calls structural time series models, which additively decompose a series into fundamental components like the trend and seasonal, using state space representations. With only a few exceptions, these use the DLM instruction. There's some overlap with the Durbin and Koopman book. Some applications which are unique to this are the three examples for dynamic models for count data, and harveyp447, which does a three variable state space model with seasonal with "homogeneous" dynamics.

Note that the early examples (pages 82 to 93) are actually quite complicated and are designed to show what you can do with various structural time series models. The simpler ones start with harveyp218.rpf and generally work up to the level of that first set.

harvey1989.zip

Zip with programs/data

(44.4 KiB) Downloaded 335 times

Example	Description	RATS Level
harveyp082.rpf	Basic Structural Model with seasonal and trend, diagnostics	Advanced
harveyp086.rpf	Basic Structural Model with non-standard cycle	Expert
harveyp089.rpf	Basic Structural Model with local trend	Intermediate
harveyp090.rpf	Basic Structural Model with non-standard cycle	Expert
harveyp093.rpf	Basic Structural Model with trend and seasonal	Intermediate
harveyp095.rpf	Basic Structural Model with trend and Fourier seasonal	Advanced
harveyp218.rpf	Basic Structural Model with local trend	Intermediate
harveyp219.rpf	Basic Structural Model with trend and seasonal	Intermediate
harveyp249.rpf	Basic Structural Model with trend and seasonal	Advanced
harveyp265.rpf	Basic Structural Model with local trend	Intermediate
harveyp276.rpf	Basic Structural Model with non-standard cycle	Expert
harveyp277.rpf	Basic Structural Model with non-standard cycle, specification tests	Advanced
harveyp280.rpf	Basic Structural Model with trend and seasonal, forecasting	Advanced
harveyp290.rpf	Autoregressive models	Basic
harveyp298.rpf	Logistic trend	Basic
harveyp358.rpf	Dynamic model for count data	Advanced
harveyp360.rpf	Dynamic model for count data	Advanced
harveyp384.rpf	Basic Structural Model with regressors	Expert
harveyp391.rpf	Basic Structural Model with regressors	Expert
harveyp393.rpf	Regression with local trend	Advanced
harveyp404.rpf	Basic Structural Model with intervention	Expert
harveyp420.rpf	Dynamic model for count data	Advanced
harveyp447.rpf	Multivariate BSM	Advanced
harveyp468.rpf	Vector autoregression	Basic