The illustrations in the STAMP manual are based on the STAMP datasets which you can
download as a zip-file.
Journal of Statistical Software
A recent and extensive STAMP illustration is given in the article
The STAMP Software for State Space Models
by Roy Mendelssohn in the
Special Issue ''Statistical Software for State Space Methods''
the Journal of Statistical Software,
see also the leading article Statistical Software for State Space Methods by Jacques J.F. Commandeur, Siem Jan Koopman, and Marius Ooms.
The data and the STAMP batch files used by Roy can be downloaded
publish regularly the
A selection of the STAMP contributions in the last years are listed below:
Articles using STAMP
Although it is not always explicitly stated in published articles in scientific journals,
STAMP is used often in empirical work.
A few recent examples are given below:
- The STAMP Software for State Space Models, by Roy Mendelssohn, Journal of Statistical Software, 2011.
- Modelling current temperature trends, by Terence C. Mills, Journal of Data Science, 2009.
- Testing for trend, by Fabio Busetti and Andrew C. Harvey, Econometric Theory, 2008.
- Tobacco consumption and policy in the United Kingdom, by Martyn Duffy, Applied Economics, 2006.
- Growth, cycles and convergence in US regional time series, by Vasco M. Carvalho and Andrew C. Harvey, International Journal of Forecasting, 2005.
- Business and default cycles for credit risk, by Siem Jan Koopman and Andre Lucas, Journal of Applied Econometrics, 2005.
- An empirical investigation into long-term climate change in Australia, by Liam J.A. Lenten and Imad A. Moosa, Environmental Modelling and Softwares, 2003.
- Forecasting OECD industrial turning points using unobserved components models with business survey data , by Antonio Garcia-Ferrer and Marcos Bujosa-Brun, International Journal of Forecasting, 2000.
Books related to STAMP
STAMP is developed for unobserved components time series models. Some books on this class of models are:
- An Introduction to State Space Time Series Analysis , July 2007, J.J.F. Commandeur and S.J. Koopman, pp. 192, Oxford University Press.
- Readings in
Unobserved Components Models, April 2005, A. Harvey and T. Proietti,
pp. 472, Oxford University Press.
Volatility: selected readings, March 2005, N Shephard, pp. 352, Oxford University Press.
State Space and Unobserved Component Models: Theory and Applications.,
June 2004, A. C. Harvey, S.J. Koopman, and N. Shephard, pp. 393, Cambridge University Press.
- Time Series Analysis by
State Space Methods, June 2001, J. Durbin and S.J. Koopman, pp. 253, Oxford University Press.
Forecasting, Structural Time Series Models and the Kalman Filter.
1989, A. C. Harvey, pp. 572, Cambridge University Press.