Contents

About SsfPack In detail Download Documentation Examples Durbin and Koopman book Commandeur and Koopman book

External links

Ox OxMetrics STAMP Econometric Links

SsfPack Basic

SsfPack Basic (which is identical to the classic SsfPack 2.2 version) requires a working install of Ox. Either Ox console or Ox Professional can be used with SsfPack. For information about Ox, please follow the External links on the right side of this page. This version requires Ox 7 or newer.

To install SsfPack, download the file ssfpack_basic_302.zip (940 KB) and unzip it in the subdirectory of your Ox install. This is usually c:\Program Files (x86)\OxMetrics7\Ox or c:\Program Files\OxMetrics7\Ox in Windows, Applications/OxMetrics7/Ox in Mac OS X, and /usr/local/lib/ox/packages in Linux. The ssfpack_basic_302.zip file contains libraries for Windows, Linux and Mac OS X. For more installation information and help getting started, download these instructions.

Note: users of of Ox 6 or older can download install ssfpack_basic_30.zip, following the same instructions above.

Note that like the console version of Ox, SsfPack Basic may be used freely for academic research and teaching purposes only. Commercial users and others who do not qualify for the free version should contact S.J. Koopman for a license.

Furthermore, usage of SsfPack Basic should be referenced in published research. The appropriate citation is Statistical algorithms for models in state space using SsfPack 2.2, Koopman, S.J., Shephard, N., Doornik, J.A., Econometrics Journal (1999), volume 2, pp 113-166. The following BiBTeX entry can be used,

@Article{ssfpack22,
  author={Siem Jan Koopman and Neil Shephard and Jurgen A. Doornik},
  title={Statistical algorithms for models in state space using SsfPack 2.2},
  journal={Econometrics Journal},
  year=1999,
  volume={2},
  number={1},
  pages={113-166},
}

SsfPack Extended

SsfPack Extended (SsfPack version 3.0) is a commercial product and can be purchased from Timberlake Consultants Ltd as a module for Ox Professional. Pricing, licensing and ordering information can be found on the Timberlake website under "OxMetrics 7".

SsfPack Extended is available on the same platforms as OxMetrics 7:

To facilitate replication and validation of empirical findings, the use of SsfPack 3.0 should be cited in reports and publications involving its application. The appropriate reference is Statistical Algorithms for Models in State Space Form: SsfPack 3.0, (2008), Koopman, S.J., Shephard, N., Doornik, J.A., Timberlake Consultants Press. The following BiBTeX entry can be used:

@Book{ssfpack30,
  author={Siem Jan Koopman and Neil Shephard and Jurgen A. Doornik},
  title={Statistical Algorithms for Models in State Space Form: SsfPack 3.0},  
  year=2008, 
  publisher={Timberlake Consultants Press}  
}

Using SsfPack with S-Plus

A port of SsfPack for S-Plus is available in the module S+FinMetrics. The S-Plus version is not supported on this website; for more information we refer to Zivot and Wang (2006). We note that the state space treatment in Chapter 11 of the textbook Analysis of Financial Time Series (2005) by Tsay relies on the SsfPack functions in S+FinMetrics.