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 Documents

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