SsfPack

swMATH9502MaRDI QIDQ21483FDOQ21483

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Official website: http://www.ssfpack.com/

Cited In (91)

• Improved frequency selective filters
• New algorithms for dating the business cycle
• Econometric software development: past, present and future
• An iterated parametric approach to nonstationary signal extraction
• Bootstrap for correcting the mean square error of prediction and smoothed estimates in structural models
• Bayesian inference in a stochastic volatility Nelson-Siegel model
• Signal extraction and the formulation of unobserved components models
• Long memory with stochastic variance model: a recursive analysis for US inflation
• Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility
• Statistical algorithms for models in state space using SsfPack 2.2
• MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION
• Dynamic factor analysis for short panels: estimating performance trajectories for water utilities
• Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
• Diagnosing seasonal shifts in time series using state space models
• Long memory and nonlinearities in realized volatility: a Markov switching approach
• Title not available (Why is that?)
• The multi-state latent factor intensity model for credit rating transitions
• Intervention analysis with state-space models to estimate discontinuities due to a survey redesign
• The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
• Quantiles, expectiles and splines
• Trends and cycles in economic time series: a Bayesian approach
• Prediction and forecasting in linear models with measurement error
• Pitfalls in linear models for style analysis
• Seasonal adjustment of an aggregate series using univariate and multivariate basic structural models
• Computing observation weights for signal extraction and filtering
• The dynamics of economic functions: modeling and forecasting the yield curve
• Robust analysis of default intensity
• A simple and efficient simulation smoother for state space time series analysis
• EViews
• gretl
• Efficient simulated maximum likelihood estimation through explicitly parameter dependent importance sampling
• Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
• dlm
• PcGive
• timsac
• Estimation of the monthly unemployment rate for six domains through structural time series modelling with cointegrated trends
• S+FinMetrics
• ARFIMA
• Ox
• Svpack
• STAMP
• Spotfire
• ECOTOOL
• SSpace
• cts
• FKF
• CAPTAIN
• KFAS
• SSMMATLAB
• CSOLNP
• DyFA
• Mkfm6
• umx
• OpenMX 2.0: extended structural equation and statistical modeling
• SSM
• Algorithm 675
• TRAMO
• sspir
• Model-based measurement of actual volatility in high-frequency data
• BUGS for a Bayesian analysis of stochastic volatility models
• stlh
• dynamichazard
• Computing the mean square error of unobserved components extracted by misspecified time series models
• Exact maximum likelihood estimation for non-stationary periodic time series models
• Stochastic volatility with leverage: fast and efficient likelihood inference
• Computationally intensive econometrics using a distributed matrix-programming language
• NGSSEML
• Are apparent findings of nonlinearity due to structural instability in economic time series?
• Direct fitting of dynamic models using integrated nested Laplace approximations -- INLA
• Signal extraction revision variances as a goodness-of-fit measure
• Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling
• A review of some modern approaches to the problem of trend extraction
• Forecasting the US unemployment rate
• Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
• Confidence intervals based on the deviance statistic for the hyperparameters in state space models
• Estimation of missing values in linear~models
• News, volatility and jumps: the case of natural gas futures
• A fast and efficient Markov chain Monte Carlo method for market microstructure model
• A new filtering inference procedure for a GED state-space volatility model
• The co-integrated vector autoregression with errors-in-variables
• Temporal disaggregation using multivariate structural time series models
• Forecast accuracy and effort: the case of US inflation rates
• Time series modelling methods to forecast the volume of self-assessment tax returns in the UK
• Continuous‐time modelling of irregularly spaced panel data using a cubic spline model
• Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra
• Some applications of nonlinear and non-Gaussian state-space modelling by means of hidden Markov models
• Transformations and seasonal adjustment
• Title not available (Why is that?)
• The Foreman Lecture: the State Space Approach to Time Series Analysis and its Potential for Official Statistics (with Discussion)
• New proposals for the quantification of qualitative survey data
• Chapter 8 Trend-Cycle Decomposition Models with Smooth-Transition Parameters: Evidence from U.S. Economic Time Series

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