State Space Modeling in Macroeconomics and Finance Using SsfPack for S+FinMetrics

State Space Modeling in Macroeconomics and Finance Using S+FinMetrics∗

This paper surveys some common state space models used in macroeconomics and finance and shows how to specify and estimate these models using the SsfPack algorithms implemented in the S-PLUS module S+FinMetrics. Examples include recursive regression models, time varying parameter models, exact ARMA models and calculation of the Beveridge-Nelson decomposition, unobserved components models, stoch...

Analysis of Structural Time Series Models Using SsfPack in S+FinMetrics 2.0

SsfPack 2.0: Statistical algorithms for models in state space An Ox link to underlying C code

This paper discusses and documents the algorithms provided by SsfPack 2.0 (release date March 30, 1998). SsfPack is a suite of C routines for carrying out computations involving the statistical analysis of univariate and multivariate models in state space form. Functions are available for prediction, filtering, moment smoothing, simulation smoothing and forecasting. The headers of these routine...

Stock Price Momentum Modeling: A Grounded Theory Approach

Recently, understanding the anomalies in financial markets have severely chal-lenged the efficient market hypothesis (EMH). The price momentum is one of the anomalies described as the unexplained short-term return by Fama and French (1996). The present research strives for modeling the price momentum of winner stock in the Iranian capital market. The grounded theory method was used to explain t...

Review of SsfPack 2.2: statistical algorithms for models in state space

SsfPack is a set of procedures with a strong link to the object-oriented matrix programming language Ox. In this review I Þrst discuss installation issues and prerequisites for a productive use of SsfPack, namely statistical and econometric knowledge, programming skills and additional software. Next I discuss the documentation and sample programs. Before concluding I discuss extensions in the d...