Journal of Statistical Software

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Title The STAMP Software for State Space Models
Author Roy Mendelssohn
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 scienti c problems.
Citation
Keywords STAMP, state space methods, unobserved components, Nile river, Paci c decadal oscillation, north Paci c high, El Ni~no.
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