is a statistical / econometric software system for time series models
with unobserbed components such as trend, seasonal, cycle and irregular.
It provides a user-friendly environment for the analysis, modelling and
forecasting of time series. Estimation and signal extraction is carried
out using state space methods and Kalman filtering. However, STAMP is
set up in an easy-to-use form which enables the user to concentrate on
model selection and interpretation. STAMP 8 is an integrated part of the
OxMetrics modular software system for data analysis with excellent data
manipulation, graphical and batch facilities.
The full name of STAMP is Structural Time Series Analyser, Modeller and
Predictor. Structural time series models are formulated directly in
terms of components of interest and also therefore often referred to as
unobserved component time series models. Such models find application in
many subjects, including economics, finance, sociology, management
science, biology, geography, meteorology and engineering. STAMP bridges
the gap between the theory and its application; providing the necessary
tool to make interactive structural time series modelling available for
empirical work. Another such tool is SsfPack, which provides more
general procedures for the programming interface Ox.
STAMP uses the Kalman filter and related algorithms to fit unobserved
component time series models. The current version 8.30 of STAMP provides
a flexible and user-friendly environment for modelling and forecasting
time series. The new version is updated for OxMetrics 6.1 and it
therefore provides even higher standards in program functionality: by
clicking the mouse a few times, everyone is able to start with a full
exploratory, statistical or econometric analysis of the time series at
hand using the powerful capabilities of the STAMP 8.30.
Earlier versions of the program were written by Andrew Harvey and Simon
Peters, while the data management side was dealt with by Bahram Pesaran.
These projects were supported by the Economic and Social Research
Council. Version 5 was entirely rewritten in C by the current authors of
STAMP. Much of the data management and the graphical interface of STAMP
5 was shared with the PcGive 7 and 8 programs of Jurgen A. Doornik and
David F. Hendry. STAMP 6 was the first version of STAMP in which the
front-end program GiveWin is separate from the econometric module STAMP.
Other modules included PcGive, TSP (by TSP International) and X12Arima
for GiveWin (based on X12-ARIMA by the US Census Bureau). The current
version STAMP 8.30 is fully integrated with OxMetrics 6.1.