Table of Contents
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Table of Contents

I Prologue

1. Introduction

1.1 Overview of the STAMP book
1.2 General information
1.3 Features indroduced in STAMP 7
1.4 New in STAMP 8
1.5 The special features of STAMP
1.6 Basics of the program
1.7 Using STAMP documentation
1.8 Citation
1.9 World Wide Web
1.10 Tutorial data sets
1.11 Data sets used in exercises
1.12 STAMP and PcGive

2. Getting Started

2.1 Starting STAMP
2.2 Loading and viewing the tutorial data set
2.3 Oxmetrics graphics
2.4 Data transformations

II Tutorials on Structural Time Series Modelling

3. Introduction to univariate Modelling

3.1 Model formulation
3.2 Evaluating and testing the model
3.3 Exercises

4. Tutorial on components

4.1 Selection of components
4.2 Trend
4.3 Seasonal
4.4 Cycle
4.5 Autoregression
4.6 Exercises

5. Tutorial on interventions and explanatory variables

5.1 Interventions
5.2 Explanatory variables
5.3 Forecasting
5.4 Statistical features of the models
5.5 Exercises

6. Tutorials on Multivariate Models

6.1. SUTSE models
6.2 Cycles
6.3 Autoregression
6,4 Common factors and cointegration
6.5 Explanatory variables and interventions
6.6 Assesing the effect of the seat belt law using a control group
6.7 Exercises

7. Applications in Macroeconomics and Finance

7.1 Univariate Trend-cycle decompositions: GDP
7.2 Multivariate trends and cycles: GDP and Investment
7.3 Inflation
7.4 Stochastic volatility
7.5 Seasonal adjustment and detrending
7.6 Missing Values
7.7 Exercises

7. Tutorial on Model Building and Testing

7.1 Specification of univariate models
7.2 Estimate a model
7.3 Model evaluation and testing
7.4 Forecasting

III Statistical Treatment

9. Statistical Treatment of Model

9.1 Model definitions
9.2 State space form
9.3 Kalman filter
9.4 Disturbance smoother
9.5 Forecasting
9.6 Parameter estimation

10. Statistical Model Output

10.1 Output from STAMP
10.2 Parameters
10.3 Final state
10.4 Goodness of fit
11.5 Components
11.6 Residuals
11.7 Auxiliary residuals
11.8 Predictive testing
11.9 Forecast

A1 STAMP Batch Language

References
Author Index
Subject Index