The STAMP software for state space models

Abstract

This paper reviews the use of STAMP (Structural Time Series Analyser, Modeler and Predictor) for modeling time series data using state-space methods with unobserved components. STAMP is a commercial, GUI-based program that runs on Windows, Linux and Macintosh computers as part of the larger OxMetrics System. STAMP can estimate a wide-variety of both univariate and multivariate state-space models, provides a wide array of diagnostics, and has a batch mode capability. The use of STAMP is illustrated for the Nile river data which is analyzed throughout this issue, as well as by modeling a variety of oceanographic and climate related data sets. The analyses of the oceanographic and climate data illustrate the breadth of models available in STAMP, and that state-space methods produce results that provide new insights into important scientic problems.