Durbin & Koopman, Time Series Analysis by State Space Method

[TomDoan]

The attached zip has the examples and data files from the 2nd edition of Durbin and Koopman, Time Series Analysis by State Space Methods, Oxford University Press, 2012. These are all examples of analysis of state-space models, most using the DLM instruction. The examples through durkp040.rpf all work with a local level model applied to a single data set, demonstrating the various techniques that can be applied with state space models. These are generally fairly simple examples. They are described in greater detail in Technical Paper No 2010-2 at http://www.estima.com/resources_articles.shtml.

The remaining examples are quite a bit more complicated, demonstrating more advanced techniques, including several where the state space model with Normal disturbances is used as an approximation to a non-normal dynamic model. Most of these examples were carried over from the authors' 1st edition; the new ones are durkp202.rpf (dynamic factor model), durkp284.rpf and durkp288.rpf (particle filters, the only examples which don't use DLM). Many of the more advanced examples are covered as part of the State Space and DSGE Models course.

durbin-koopman_2.zip

Full zip with program/data files

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Single book browser page from which you can examine specific examples.

[TomDoan]

Updated to 2nd edition.