SSMMATLAB: A Set of MATLAB Programs for the Statistical Analysis of State Space Models

Victor Gómez

Journal of Statistical Software, 2015, vol. 066, issue i09

Abstract: This article discusses and describes SSMMATLAB, a set of programs written by the author in MATLAB for the statistical analysis of state space models. The state space model considered is very general. It may have univariate or multivariate observations, time-varying system matrices, exogenous inputs, regression effects, incompletely specified initial conditions, such as those that arise with cointegrated VARMA models, and missing values. There are functions to put frequently used models, such as multiplicative VARMA models, VARMAX models in echelon form, cointegrated VARMA models, and univariate structural or ARIMA model-based unobserved components models, into state space form. There are also functions to implement the Hillmer-Tiao canonical decomposition and the smooth trend and cycle estimation proposed by Gómez (2001). Once the model is in state space form, other functions can be used for likelihood evaluation, model estimation, forecasting and smoothing. A set of examples is presented in the SSMMATLAB manual to illustrate the use of these functions.

Date: 2015-08-27
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.jstatsoft.org/index.php/jss/article/view/v066i09/v66i09.pdf
https://www.jstatsoft.org/index.php/jss/article/do ... 066i09/SSMMATLAB.zip
https://www.jstatsoft.org/index.php/jss/article/do ... 6i09-replication.zip

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:066:i09

DOI: 10.18637/jss.v066.i09

Access Statistics for this article

Journal of Statistical Software is currently edited by Bettina Grün, Edzer Pebesma and Achim Zeileis

More articles in Journal of Statistical Software from Foundation for Open Access Statistics
Bibliographic data for series maintained by Christopher F. Baum ().