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Structural Time Series Analysis and Modelling Package: A Review

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  • Diebold, Francis X

Abstract

This package performs specialized tasks related to specification, estimation, prediction and diagnostic checking in the context of a particular class of unobserved-components models. It is menu-driven and easy to use. Although the present (first) release suffers from a number of limitations, omissions and bugs, it is nevertheless a useful tool in the hands of a knowledgeable user. Copyright 1989 by John Wiley & Sons, Ltd.

Suggested Citation

  • Diebold, Francis X, 1989. "Structural Time Series Analysis and Modelling Package: A Review," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(2), pages 195-204, April-Jun.
    • Handle: RePEc:jae:japmet:v:4:y:1989:i:2:p:195-204
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    Cited by:

    1. Diebold, Giorgianni, & Inoue, "undated". "Stamp 5.0: A Review," Home Pages _058, University of Pennsylvania.
    2. Koehler, Anne & Diebold, Francis X. & Giogianni, Lorenzo & Inoue, Atsushi, 1996. "Software review," International Journal of Forecasting, Elsevier, vol. 12(2), pages 309-315, June.
    3. Patrick Wilson & Simon Stevenson & Ralf Zurbruegg, 2007. "Foreign Property Shocks and the Impact on Domestic Securitized Real Estate Markets: An Unobserved Components Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 34(3), pages 407-424, April.

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