STAMP swMATH ID: 9536 Software Authors: Koopman, S. J.; Harvey, A. C.; Doornik, J. A.; Shephard, A. Description: STAMP is a statistical / econometric software system for time series models with unobserbed components such as trend, seasonal, cycle and irregular. It provides a user-friendly environment for the analysis, modelling and forecasting of time series. Estimation and signal extraction is carried out using state space methods and Kalman filtering. However, STAMP is set up in an easy-to-use form which enables the user to concentrate on model selection and interpretation. STAMP 8 is an integrated part of the OxMetrics modular software system for data analysis with excellent data manipulation, graphical and batch facilities. The full name of STAMP is Structural Time Series Analyser, Modeller and Predictor. Structural time series models are formulated directly in terms of components of interest and also therefore often referred to as unobserved component time series models. Such models find application in many subjects, including economics, finance, sociology, management science, biology, geography, meteorology and engineering. STAMP bridges the gap between the theory and its application; providing the necessary tool to make interactive structural time series modelling available for empirical work. Another such tool is SsfPack, which provides more general procedures for the programming interface Ox. Homepage: http://stamp-software.com/ Related Software: SsfPack; Ox; R; Matlab; SAS; Stata; RATS; TRAMO; SSMMATLAB; CAPTAIN; gretl; EViews; SSM; REGCMPNT; itsmr; SSpace; StateSpaceModels; Optim; Julia; KFAS Cited in: 37 Publications Standard Articles 1 Publication describing the Software Year all top 5 Cited by 63 Authors 4 Pollock, D. Stephen G. 3 Koopman, Siem Jan 2 Luati, Alessandra 2 McElroy, Tucker S. 2 Ooms, Marius 2 Pedregal, Diego J. 2 Penzer, Jeremy 2 Young, Peter C. 1 Alexandrov, Theodore 1 Bianconcini, Silvia 1 Bujosa, Marcos 1 Busetti, Fabio 1 Chu-Chun-Lin, Singfat 1 Commandeur, Jacques J. F. 1 Cruz, Frederico R. B. 1 Dagum, Estelle Bee 1 de Jong, Piet 1 Delle Monache, Davide 1 Doornik, Jurgen A. 1 Franco-Neto, Afonso Arinos de Mello 1 Franco, Glaura C. 1 Gamerman, Dani 1 García-Ferrer, Antonio 1 Ghysels, Eric 1 González-Dávila, Enrique 1 Guillén, Osmani Teixeira de Carvalho 1 Harvey, Andrew C. 1 Hindrayanto, Irma 1 Issler, João Victor 1 Jorge-González, Elisa 1 Jungbacker, Borus 1 Krieg, Sabine 1 Kutlu, Levent 1 Lenten, Liam J. A. 1 Lorenzo-Díaz, Domingo 1 Maass, Peter 1 Martín-Rivero, Raquel 1 Monsell, Brian 1 Moosa, Imad A. 1 Moreira, Ajax R. Bello 1 Osborn, Denise R. 1 Pfeffermann, Danny 1 Proietti, Tommaso 1 Ribeiro, Juliana A. 1 Rosales Marticorena, Francisco 1 Samarina, Anna 1 Santos, Thiago R. 1 Sargent, Thomas John 1 Schmidt, Alexandra Mello 1 Sickles, Robin C. 1 Stanga, Irina M. 1 Streibel, Mariane 1 Sutradhar, Brajendra Chandra 1 Tagore, Vickneswary 1 Thornton, Michael A. 1 Tiller, Richard B. 1 Trapero, Juan R. 1 Trimbur, Thomas M. 1 van den Brakel, Jan A. 1 Villegas, Diego A. 1 Villegas, Marco A. 1 Zheng, Nan 1 Zizza, Roberta all top 5 Cited in 15 Serials 6 Journal of Time Series Analysis 5 Computational Statistics and Data Analysis 3 Journal of Econometrics 3 Journal of Applied Statistics 2 Statistica Neerlandica 2 Econometric Reviews 2 Journal of Economic Dynamics & Control 2 Communications in Statistics. Simulation and Computation 1 Journal of the American Statistical Association 1 Journal of Economics 1 Economics Letters 1 Journal of Forecasting 1 Statistical Methodology 1 Electronic Journal of Statistics 1 Themes in Modern Econometrics all top 5 Cited in 8 Fields 33 Statistics (62-XX) 16 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 4 Numerical analysis (65-XX) 2 Systems theory; control (93-XX) 2 Information and communication theory, circuits (94-XX) 1 General and overarching topics; collections (00-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Probability theory and stochastic processes (60-XX) Citations by Year