GAUSS State-Space Modeling (SSLIB) ============================================== Description ---------------- This package provides tools for estimating and evaluating time-invariant state-space models. In addition to providing the tools for custom state space models, it provides pre-built functions for state-space modeling of: * ARIMA packages * SARIMA packages Installation -------------- The GAUSS State Space library can be installed and updated directly in GAUSS using the `GAUSS Package Manager `_. It requires a working copy of GAUSS 22+. For more information on installing the GAUSS Package Manager please see our video blog, `Installing the GAUSS Package Manager `_. Dependencies -------------- This library requires the installation of the following GAUSS libraries: * `Time Series MT `_ * `Constrained Maximum Likelihood MT `_ Usage ------------- Estimating custom state-space models using the `sslib` library requires: * Loading data * Setting up the state-space representation * Calling the estimation function :func:`ssFit` See our `complete guide `_ to getting started with state-space estimation in GAUSS for a full example. Commands ------------------------------ Estimating custom models +++++++++++++++++++++++++++++++ ========================== =========================================================================================================== :func:`ssFit` Estimates parameters of a state-space model using Kalman filtering and maximum likelihood estimation. :func:`ssIRF` Computes the impulse response functions based on the final estimated parameters. :func:`ssPredict` Computes in sample predictions or out-of-sample forecasts based on the final estimated parameters. :func:`ssKalmanSmooth` Performs the Rauch-Tung-Striebel backward recursion smoother for state variables and state covariances. ========================== =========================================================================================================== Pre-built models +++++++++++++++++++++++++++ ========================== ================================================================================================================================================================= :func:`ssARIMA` Estimates parameters of a state-space model ARIMA(p, d, q) model using Kalman filtering and maximum likelihood estimation. :func:`ssSARIMA` Estimates parameters of a state-space model SARIMA(p, d, q)(p_s, d_s, q_s) model using Kalman filtering and maximum likelihood estimation. ========================== ================================================================================================================================================================= Model evaluation +++++++++++++++++++++ ================================ ======================================================================================================================================================= :func:`ssgetAIC` Computes Akaike's information criterion from loglikelihood. :func:`ssgetAICC` Computes the corrected Akaike's information criterion from loglikelihood. :func:`ssgetBIC` Computes the Schwarz’ Bayesian information criterion from loglikelihood. :func:`ssgetHQIC` Computes the Hannan–Quinn information criterion from loglikelihood. :func:`ssHeteroskedasticityTest` Tests the null hypothesis of no heteroskedasticity by comparing the sum-of-squares of the first third of the sample to the sum-of-squares of last third of the sample. Analogous to a Goldfeld-Quandt test. :func:`ssJarqueBera` Performs the Jarque-Bera goodness-of-fit test on model residuals. :func:`ssLjungBox` Computes the Ljung-Box test for autocorrelation. :func:`ssSkewness` Computes the sample skewness. :func:`ssKurtosis` Compute the sample kurtosis. ================================ ======================================================================================================================================================= .. toctree:: :maxdepth: 1 :hidden: :caption: State-space modeling getting-started ssarima sscontrolcreate ssfit ssgetaic ssgetaicc ssgetbic ssgethqic ssheteroskedasticitytest ssirf ssjarquebera sskalmansmooth sskurtosis ssljungbox sspredict sssarima ssskewness