Review of the book on The American Statistician

Professor Michel van der Wel (Erasmus University Rotterdam) reviewd Time Series Modelling with Unobserved Components on the American Statistician.

Here is a link to the full review.

Here is an excerpt:

“The main contribution of the book relative to existing books on this topic is that it emphasizes the actual model class, rather than methods for these kind of models. The author points out that despite the many advantages of this rich class, its use is still limited among practitioners. He hopes that his new angle will further popularize unobserved component models…the book really achieves its purpose and differentiates itself from alternatives, and is therefore a valuable addition and worth buying. The discussion of software in Chapter 10 is extremely timely and a great plus for practitioners and researchers that are ready to sit down and start implementing. For each software package, clear examples are given on how to run an example unobserved component model […] In closing, the book reads well and really provides the reader with a broad understanding of the unobserved component approach. This includes models, methods, and the discussion of software packages. I can imagine that besides being relevant and interesting for practitioners, students will benefit from reading this book. I personally would be more than happy to suggest it to Master and advanced Bachelor students in Econometrics working on the topic in a course or for their thesis.”

Examples from the book coded by Rajesh Selukar (SAS Institute)

Beside the PROC UCM documented in my book, SAS/ETS has a procedure to estimate models in general linear state space form called PROC SSM. I am sorry not to have covered it in the last chapter of the book, but thanks to the kindness of Rajesh Selukar (SAS Institute), who reproduced some examples in the book using PROC SSM, these codes are now available in the SAS/ETS code page of this site.

Thanks, Rajesh!

Review of the book on the Journal of Time Series Analysis

Professor Mohsen Pourahmadi reviewd Time Series Modelling with Unobserved Components on the Journal of Time Series Analysis.

Here is a link to the full review.

Here is an excerpt:

“Overall, this is a unique book on time series analysis in that it covers substantial amount of material lucidly and succinctly without much fluffs in less than 260 pages and achieves its five stated goals. I enjoyed reading the book, and I believe it is an excellent reference book for UCM and related software packages, time series analysis and study of business cycles. It can also be used as a companion for teaching time series analysis along with a standard time series text.”

Site now contains data and basic structural model code for all packages


the site now contains

  1. all the data of the book’s examples and case studies,
  2. the basic structural model (BSM) code for the famous Box-Jenkins Airline time series relative to all the different software packages considered in the book.

In the next days I will be adding the code for the various examples and case studies in the book. Ox/SsfPack and R will come first, and then the other packages will follow when the model is feasible in that package.