Data

The illustrations in the STAMP manual are based on the STAMP data-set which you can download as a zip-file.

Newsletters

Timberlake Consultants publish regularly the OxMetrics newsletters. A selection of the STAMP contributions in the last years are listed below:

• 2008: Fitting the term-structure in STAMP
• 2009: Finding statistical evidence of a crisis in the European car industry
• 2010: STAMP 8.30: Batch and Ox code generator

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:

• 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.
• Stochastic 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.