STAMP is a statistical / econometric software system for time series models with unobserbed components such as trend, seasonal, cycle and irregular. It provides a user-friendly environment for the analysis, modelling and forecasting of time series. Estimation and signal extraction is carried out using state space methods and Kalman filtering. However, STAMP is set up in an easy-to-use form which enables the user to concentrate on model selection and interpretation. STAMP 8 is an integrated part of the OxMetrics modular software system for data analysis with excellent data manipulation, graphical and batch facilities.
The full name of STAMP is Structural Time Series Analyser, Modeller and Predictor. Structural time series models are formulated directly in terms of components of interest and also therefore often referred to as unobserved component time series models. Such models find application in many subjects, including economics, finance, sociology, management science, biology, geography, meteorology and engineering. STAMP bridges the gap between the theory and its application; providing the necessary tool to make interactive structural time series modelling available for empirical work. Another such tool is SsfPack, which provides more general procedures for the programming interface Ox.
STAMP uses the Kalman filter and related algorithms to fit unobserved component time series models. The current version 8.30 of STAMP provides a flexible and user-friendly environment for modelling and forecasting time series. The new version is updated for OxMetrics 6.1 and it therefore provides even higher standards in program functionality: by clicking the mouse a few times, everyone is able to start with a full exploratory, statistical or econometric analysis of the time series at hand using the powerful capabilities of the STAMP 8.30.
Earlier versions of the program were written by Andrew Harvey and Simon Peters, while the data management side was dealt with by Bahram Pesaran. These projects were supported by the Economic and Social Research Council. Version 5 was entirely rewritten in C by the current authors of STAMP. Much of the data management and the graphical interface of STAMP 5 was shared with the PcGive 7 and 8 programs of Jurgen A. Doornik and David F. Hendry. STAMP 6 was the first version of STAMP in which the front-end program GiveWin is separate from the econometric module STAMP. Other modules included PcGive, TSP (by TSP International) and X12Arima for GiveWin (based on X12-ARIMA by the US Census Bureau). The current version STAMP 8.30 is fully integrated with OxMetrics 6.1.
The STAMP website at http://stamp-software.com is designed and maintained by S.J. Koopman and K.M. Lee. Please send questions, comments and remarks about the website to firstname.lastname@example.org, with "STAMP 8" in the subject line to avoid spam-filtering.