SsfPack Basic

The primary documentation of SsfPack Basic is the document Statistical algorithms for models in state space form using SsfPack 2.2 which was published as an article in Econometrics Journal (Volume 2, p.113-166). Copyright for this article is held by the Royal Economic Society, but is made available on this site for personal use free of charge by permission of the Society. It can be downloaded here in PDF format and is also included in the SsfPack Basic ZIP file from the Download page.

The document SsfPack_Getting_Started.pdf contains detailed installation instructions and tips for getting started with SsfPack Basic and Extended.

SsfPack Extended

SsfPack Extended is described in detail in the book Statistical Algorithms for Models in State Space Form: SsfPack 3.0 (2008), by Siem Jan Koopman, Neil Shephard, and Jurgen A. Doornik. This book is published by Timberlake Consultants Press, and can be ordered here.

State space models

The documentation of SsfPack assumes some working knowledge of state space modelling. A comprehensive treatment of the state space approach is given in Time Series Analysis by State Space Methods by J. Durbin and S.J. Koopman. This book delves into the details of the theoretical foundations of the algorithms used in SsfPack.

A more practically oriented treatment is provided by An Introduction to State Space Time Series Analysis by J.J.F. Commandeur and S.J. Koopman. More information on these books can be found by following the links on the side of this page dedicated to these books.

Research

SsfPack has been used in a wide range of research project. A selection of papers referring to SsfPack can be found on RePEc IDEAS.