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SsfPack is a set of procedures with a strong link to the object-oriented matrix programming language Ox. In this review I first discuss installation issues and prerequisites for a productive use of SsfPack, namely statistical and econometric knowledge, programming skills and additional software....
Persistent link: https://www.econbiz.de/10005243400
This paper looks at unobserved components models and examines the implied weighting patterns for signal extraction. There are four main themes. The first concerns the implications of correlated disturbances driving the components, especially those cases in which the correlation is perfect. The...
Persistent link: https://www.econbiz.de/10005100070
This paper discusses and documents the algorithms of SsfPack 2.2. SsfPack is a suite of C routines for carrying out computations involving the statistical analysis of univariate and multivariate models in state space form. The emphasis is on documenting the link we have made to the Ox computing...
Persistent link: https://www.econbiz.de/10005607082