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Econometrics Paper
Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) Andrew C Harvey, Siem Jan Koopman and J Penzer March 1997
Paper No' EM/1997/327:
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Tags: arima models; data aggregation; importance sampling; irregularly spaced data; kalman filter; missing observations; outliers; smoother; splines; state space form; structural breaks; structural time series models; weekly observations.

Econometrics Paper
Multivariate Structural Time Series Models - (Now published in 'System Dynamics in Economic and Financial Models', CHeij, H Schumacher, B Hanzon and C Praagman (eds.) John Wiley & Sons, Chichester (1997), pp.269-298.) Andrew C Harvey and Siem Jan Koopman March 1996
Paper No' EM/1996/307:
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Tags: co-integration; commontrends; cycles; kalman filter; structural time series model; triangular representation