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 New in STAMP 7
1.4 The special features of STAMP
1.5 Basics of the program
1.6 Using STAMP documentation
1.7 Citation
1.8 World Wide Web
1.9 Tutorial data sets
1.10 Data sets used in exercises
1.11 STAMP and PcGive/PcFiml

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 Forecasts
5.4 Error correction and unobserved components
5.5 Statistical features of the models
5.6 Exercises

6. Applications in Macroeconomics and Finance

6.1 Trend-cycle decompositions
6.2 Expected inflation
6.3 Stochastic volatility
6.4 Seasonal adjustment and detrending
6.5 Missing Values
6.6 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 and Backasting

III Statistical Treatment

8. Statistical Treatment of Model

8.1 Model definitions
8.2 State space form
8.3 Kalman filter
8.4 Parameter estimation

11. Statistical Model Output

11.1 Output from STAMP
11.2 Parameters
11.3 Final state
11.4 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