New section for the book "An Introduction to State Space Time Series Analysis" by Commandeur and Koopman
SsfPack 2.2b is available for download. Some issues in the example programs are fixed.
The second edition of Analysis of Financial Time Series by Ruey Tsay uses SsfPack. Chapter 11 discusses financial applications of state space models, and contains many examples using the S-Plus version of SsfPack.
SsfPack 2.2a is available for download. This fixes some compatibility issues and works with the latest Ox 4 version. Information about SsfPack 3 is updated.
The second OxMetrics User Conference will be held in London on August 26-27, 2004. For more information, see http://www.cass.city.ac.uk/conferences/oxmetrics2004/index.html
Timberlake Consultants Ltd (UK) and Global Economics Sdn Bhd (Malaysia) will organize a two-day course in Kuala Lumpur on Modelling and Forecasting Exchange Rates. Although the course is built around Eviews, other modern econometrics packages, including PcGive, RATS and STAMP, might be used to demonstrate the use of the techniques under discussion. For more information, see http://www.timberlake.co.uk/training/public/exchratesmalaysia.html
On 7-8 January 2003, a course on time series modeling with SsfPack and STAMP will be held in Washington D.C. For more information, see http://www.timberlake.co.uk/training/public/stampUS.html
The RATS software package also contains procedures for Kalman filtering and smoothing. From their July newsletter we learn that they have now implemented Koopman's exact initialization algorithm.
The organizers of the Academy Colloquium and Masterclass on State space and unobserved components models in honour of Professor J. Durbin (LSE), would like to thank the participants for their contributions. Many papers and presentations can be downloaded from the conference web site, so please visit if you have not done so yet.
The Royal Netherlands Academy of Arts and Sciences organizes an Academy Colloquium and Masterclass on State space and unobserved components models in honour of Professor J. Durbin (LSE). The conference and workshop are held in Amsterdam, The Netherlands, on August 29-31 and September 2-3 2002.
Insightful Corporation announces the availability of S+FinMetrics, a flexible analytic tool available for both routine and advanced econometric modeling in S-PLUS, Version 6 or higher. This new module, fully described here , incorporates all the SsfPack 3.0 functions as released in the beta version for Ox last year. The official SsfPack 3.0 release for Ox is planned for September 2002.
Added some links in the research section
The beta-test version of SsfPack 3.0 for Ox is available. When you are interested, please email koopman@ssfpack.com to ask for a copy and indicate why you need it.
SsfPack 3.0 provides new functions for putting models in state space and for implementing specific tasks such as forecasting and bootstrapping. New versions of existing SsfPack 2 functions are also provided while the original functions are kept unchanged in SsfPack 3. The updated functions are improved in various ways; the most essential changes are the exact treatment of diffuse initial conditions, the allowance for sparse structures in state space matrices and the handling of multivariate computations.
SsfPack is free of charge for workers in university and government with no commercial purposes; otherwise, a licence can be obtained to use SsfPack by paying a fee. More details can be obtained from koopman@ssfpack.com.
New layout. This website is now primarily maintained by K.M. Lee.
The first beta-tests of SsfPack 3.0 will start soon. Apart from some new functions, all algorithms will be based on exact diffuse initialisations and univariate implementations of multivariate filtering and smoothing. Further it takes account of sparse structures in the system matrices. We expect that in March or April 2001 a first beta version can be downloaded from this work page. We are also working on the incorporation of SsfPack in S-PLUS.
This work page was down between January 31 and February 05. Sorry for the inconvenience.
The beta version 2.3a of SsfPack is available for downloading. The documentation of this version is in preparation. This version is fully compatible with version 2.2. Existing Ox code using SsfPack need not to be changed and no numerical differences exist with version 2.2. Three functions are added:
SsfAbout() | info about SsfPack |
SsfVersion()) | returns version of SsfPack times 100 |
SsfWeights() |
computes weights for filtering (prediction and contemporaneous) and smoothing (signal extraction); see weights project page |
In the SsfPack research section: a new project page for Stochastic Volatility.
The new official website http://www.ssfpack.com/, the SsfPack work page, is launched on Friday, August 27, 1999. From this page you can download SsfPack 2.2 and soon the beta version 2.3. Further you can view directly the documentation from here. The plan is to collect here all Ox programs using SsfPack which have been used in published articles and in on-going research projects. In this way everyone can replicate reported results and can develop further their own Ox programs using SsfPack. So keep in touch with http://www.ssfpack.com/.