SsfPack swMATH ID: 9502 Software Authors: Koopman, Siem Jan; Shephard, Neil; Doornik, Jurgen A. Description: Statistical algorithms for models in state space using SsfPack 2. 2. The authors discuss and document 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 they 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 as ARMA and cubic spline models in state space form. Basic functions are available for filtering, moment smoothing and simulation smoothing. Ready-to-use functions are provided for standard tasks such as likelihood evaluation, forecasting and signal extraction. We show that SsfPack can be easily used for implementing, fitting and analysing Gaussian models relevant to many areas of econometrics and statistics. Some Gaussian illustrations are given. Homepage: http://www.ssfpack.com/ Keywords: Kalman filtering; Kalman smoothing; Markov chain Monte Carlo; simulation smoother; state space; algorithms; univariate and multivariate models; Ox computing environment Related Software: Ox; STAMP; R; astsa; Stata; SAS; KFAS; Matlab; gretl; EViews; RATS; sspir; dlm; S+FinMetrics; S-PLUS; TRAMO; ARFIMA; QUADPACK; SSMMATLAB; FKF Cited in: 61 Publications Standard Articles 1 Publication describing the Software Year all top 5 Cited by 93 Authors 13 Koopman, Siem Jan 5 Ooms, Marius 5 Shephard, Neil 4 Doornik, Jurgen A. 4 McElroy, Tucker S. 4 Proietti, Tommaso 3 Tripodis, Yorghos 2 Bos, Charles S. 2 Durbin, James 2 Franco, Glaura C. 2 Harvey, Andrew C. 2 Jungbacker, Borus 2 Riani, Marco 2 van den Brakel, Jan A. 2 Wong, Soon Yip 2 Zivot, Eric 1 Alexandrov, Theodore 1 Barndorff-Nielsen, Ole Eiler 1 Bates, Timothy C. 1 Bellini, Tiziano 1 Bianconcini, Silvia 1 Birrell, Carole L. 1 Boker, Steven M. 1 Bordignon, Silvano 1 Borovkova, Svetlana 1 Bowsher, Clive G. 1 Brick, Timothy R. 1 Brinch, Christian N. 1 Buonaccorsi, John P. 1 Ceccotti, T. B. 1 Chib, Siddhartha 1 Chow, Sy-Miin 1 Corielli, Francesco 1 Creal, Drew D. 1 Dagum, Estelle Bee 1 De Rossi, Giuliano 1 Delle Monache, Davide 1 Dordonnat, Virginie 1 Dos Santos, Thiago R. 1 Estabrook, Ryne 1 Frale, Cecilia 1 Hautsch, Nikolaus 1 Hendry, David F. 1 Hindrayanto, Irma 1 Hui, Peng 1 Hunter, Michael D. 1 Kirkpatrick, Robert M. 1 Koop, Gary 1 Krainski, Elias T. 1 Krieg, Sabine 1 Langrock, Roland 1 Lee, Kai Ming 1 Lin, Yanxia 1 Lucas, André 1 Maass, Peter 1 Maes, Hermine H. 1 Mahakena, Diego 1 Meeks, Roland 1 Meucci, Attilio 1 Meyer, Renate 1 Moauro, Filippo 1 Monteiro, André d’Almeida 1 Nakajima, Jouchi 1 Neale, Michael C. 1 Neerchal, Nagaraj K. 1 Nielsen, Heino Bohn 1 Oh, Kum Hwa 1 Omori, Yasuhiro 1 Penzer, Jeremy 1 Pollock, D. Stephen G. 1 Potter, Simon M. 1 Pritikin, Joshua N. 1 Raggi, Davide 1 Rezende, Thiago 1 Roels, Joeri 1 Rue, Håvard 1 Ruiz-Cárdenas, Ramiro 1 Santos, Thiago R. 1 Savio, Giovanni 1 Schulz, Rainer 1 Steel, David G. 1 Sutcliffe, Andrew 1 Trimbur, Thomas M. 1 van Dijk, Herman K. 1 Wang, Jeffrey H. 1 Wenbiao, Xie 1 Werwatz, Axel 1 Wildi, Marc 1 Yang, Fuyu 1 Yapeng, Sun 1 Zahery, Mahsa 1 Zhang, Guangjian 1 Zirogiannis, Nikolaos all top 5 Cited in 27 Serials 13 Computational Statistics and Data Analysis 6 Journal of Econometrics 5 The Econometrics Journal 3 Econometric Reviews 3 Journal of Forecasting 2 Journal of Statistical Planning and Inference 2 Statistica Neerlandica 2 Journal of Economic Dynamics & Control 2 Statistical Methods and Applications 1 Psychometrika 1 Biometrika 1 Journal of the American Statistical Association 1 Journal of Time Series Analysis 1 Computational Statistics 1 Communications in Statistics. Simulation and Computation 1 Australian & New Zealand Journal of Statistics 1 Philosophical Transactions of the Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences 1 Discrete Dynamics in Nature and Society 1 Journal of Applied Statistics 1 Econometric Theory 1 Brazilian Journal of Probability and Statistics 1 Quantitative Finance 1 Advances and Applications in Statistics 1 Statistical Methodology 1 Journal of Statistical Theory and Practice 1 The Annals of Applied Statistics 1 Journal of Time Series Econometrics all top 5 Cited in 8 Fields 51 Statistics (62-XX) 28 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 13 Numerical analysis (65-XX) 3 Systems theory; control (93-XX) 3 Information and communication theory, circuits (94-XX) 2 Probability theory and stochastic processes (60-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Computer science (68-XX) Citations by Year