Literature related to STAMP

Anderson, B. D. O., and Moore, J. B. (1979). Optimal Filtering. Englewood Cliffs: Prentice-Hall.

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Carter, C. K., and Kohn, R. (1994). "On Gibbs sampling for state space models" Biometrika, 81, 541--53.

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Chib, S., Nardari, F., and Shephard, N. (1999). "Analysis of high dimensional multivariate stochastic volatility models" Unpublished paper: Nuffield College, Oxford.

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de Jong, P., and Chu-Chun-Lin, S. (1994). "Fast likelihood evaluation and prediction for nonstationary state space models" Biometrika, 81, 133--142.

de Jong, P., and Shephard, N. (1995). "The simulation smoother for time series models" Biometrika, 82, 339--50.

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Doornik, J. A., and Hendry, D. F. (1999a). GiveWin: An Interface to Empirical Modelling 2nd ed. London: Timberlake Consultants Press.

Doornik, J. A., and Hendry, D. F. (1999b). Modelling Dynamic Systems using PcGive: Volume II. London: Timberlake Consultants Press.

Doornik, J. A. (1998). Ox: Object Oriented Matrix Programming, 2.0. London: Timberlake Consultants Press.

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Durbin, J., and Koopman, S. J. (1997). "Monte Carlo maximum likelihood estimation of non-Gaussian state space model" Biometrika, 84, 669--84.

Durbin, J., and Koopman, S. J. (2000). "Time series analysis of non-gaussian observations based on state space models from both classical and bayesian perspectives" J. Royal Statistical Society B, 62. forthcoming.

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Harvey, A. C., and Koopman, S. J. (1992). "Diagnostic checking of unobserved components time series models" J. Business and Economic Statist., 10, 377--389.

Harvey, A. C., and Koopman, S. J. (1994). "Trends and cycles in multivariate time series" Mimeo, Dept. of Statistics, LSE.

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Koopman, S. J., Shephard, N., and Doornik, J. A. (1999b). "Statistical algorithms for models in state space using SsfPack 2.2 (with discussion)" Econometrics Journal, 2, 113--166. Also see: www.ssfpack.com.

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Koopman, S. J., and Shephard, N. (1992). "Exact score for time series models in state space form" Biometrika, 79, 823--6.

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