Harvey, Forecasting, structural time series,...
Posted: Thu Jun 28, 2012 10:51 amThe 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.
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
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| 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 |