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Statistical algorithms for models in state space using ssfpack 2.2.

Abstract:

This paper discusses and documents the algorithms of SsfPack 2.2. SsfPack is a suite of C routines for carrying out computations involving the statistical analysis of univariate and multivariate models in state space form. The emphasis is on documenting the link we have made to the Ox computing environment. SsfPack allows for a full range of different state space forms: from a simple time-invariant model to a complicated time-varying model. Functions can be used which put standard models such...

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Volume:
141
Series:
Discussion Papers
Publication date:
1998-01-01
URN:
uuid:7f45916e-268f-4911-9f08-752f9205d901
Local pid:
oai:economics.ouls.ox.ac.uk:12085
Language:
English

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