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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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Publisher:
Royal Economic Society
Journal:
Econometrics Journal More from this journal
Volume:
2
Issue:
1
Pages:
107 - 160
Publication date:
1999-01-01
ISSN:
1368-4221
Language:
English
UUID:
uuid:cc5801d7-17af-4f00-b11f-08ee9a4cc39b
Local pid:
oai:economics.ouls.ox.ac.uk:10458
Deposit date:
2011-08-16

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