SsfPack

SsfPack is a suite of C routines for carrying out computations involving the statistical analysis of time series models in state space form. SsfPack provides functions for likelihood evaluation and signal extraction of arbitrary user specified linear Gaussian state space models, allowing the estimation of models ranging from simple time-invariant univariate forms to complicated time-varying multivariate specifications. Basic functions are available for prediction, moment smoothing and simulation smoothing. Additionally, functions are provided which put standard models such as autoregressive moving average (ARMA), unobserved components (UC) and cubic spline models in state space form.

The functions from SsfPack can be easily used for implementing, fitting and analysing linear Gaussian models relevant to many areas of econometrics, statistics and time series analysis. Further, SsfPack provides tools for estimating many non-Gaussian and nonlinear models using implement simulation based estimation methods such as importance sampling and Markov chain Monte Carlo (MCMC) methods.

SsfPack is primarily developed as a module for the object-oriented matrix programming language Ox. The library is written in C, which greatly improves execution speed compared to a direct Ox implementation. A free version of SsfPack for academic research and teaching purposes can be downloaded from this website.

Authors

Siem Jan Koopman

is Professor of Econometrics at the VU University Amsterdam and Tinbergen Institute Amsterdam. He is author of the textbooks Time Series Analysis by State Space Methods (with J. Durbin) and An Introduction to State Space Time Series Analysis (with J. Commandeur). He fullfills editorial duties at the Journal of Applied Econometrics and the Journal of Forecasting.

Neil Shephard

is Professor of Economics at the University of Oxford and Research Director of the Oxford-Man Institute of Quantitative Finance. He is a Fellow of the Econometric Society, the British Academy, Nuffield College and is an Associate Editor of Econometrica.

Jurgen A. Doornik

is a Research Fellow of Nuffield College, Oxford. He is the main developer of OxMetrics, the originator of Ox, an object-oriented matrix programming language, and author (with David F. Hendry) of PcGive and PcFiml.

Website

The SsfPack website at http://www.ssfpack.com is designed and maintained by S.J. Koopman and K.M. Lee. Please send questions, comments and remarks about the website to kmlee999@gmail.com, with "ssfpack" in the subject line to avoid spam-filtering.