Unobserved components model Model

Reference sources

Reference material used for orientation; read primary and academic sources first when claims conflict.

1. [S1] Reference

   Harvey (1985) introduced the structural time-series model and showed how to cast it in state-space form for Kalman filter estimation.

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2. [S2] Reference

   Harvey (1989) provided the definitive textbook treatment: local-level, local-linear-trend, cycle, and trigonometric seasonal components with full MLE methodology.

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3. [S3] Reference

   Clark (1987) decomposed U.S. GDP into trend and cycle using a bivariate UCM, producing one of the first model-based output-gap estimates.

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4. [S4] Reference

   Watson (1986) analyzed the identification and estimation of the UC-trend model and its relationship to the Beveridge-Nelson decomposition.

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5. [S5] Reference

   Durbin and Koopman (2012) gave a modern treatment covering diffuse initialization, simulation smoothing, and diagnostics for state-space models.

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6. [S6] Reference

   Morley, Nelson, and Zivot (2003) demonstrated that allowing correlated trend-cycle disturbances in the UCM reverses the standard finding about the relative importance of permanent versus transitory shocks.

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7. [S7] Reference

   Commandeur and Koopman (2007) provided a practical introduction to structural time-series analysis with worked examples in SsfPack and STAMP.

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