This page provides links to example programs for An Introduction to State Space Time Series Analysis, by Commandeur and Koopman (2004, Oxford Univ).
The Zip file listed first in the table below includes all the sample programs, data files (when available), and, in some cases, files containing RATS procedures used by the examples. If you want to actually run any of the examples, you should download the Zip file.
If you prefer just to view the code for a particular example, just click on the example name (the files are referenced by page number). Again, if you actually want to run these, you should download the zip file listed first to get the required data and procedure files.
Note that all of the textbook example, data, and procedure files currently available on our website are also included on the CD with the current release of the RATS software.
| File Name | Description |
| chapter1.prg | Descriptive statistics;graphs |
| chapter2_norway.prg | Local level model, estimation of variances |
| chapter2_uk.prg | Local level model |
| chapter3_finland.prg | Local trend model, estimation, Kalman smoothing |
| chapter3_uk.prg | Local trend model, estimation, Kalman smoothing |
| chapter4_inflation.prg | UC model with seasonal |
| chapter4_uk.prg | UC model with seasonal |
| chapter5_uk.prg | Local level model with exogenous shift |
| chapter6_uk.prg | Local level model with intervention variable |
| chapter7_inflation.prg | Seasonal model with intervention variables |
| chapter7_uk.prg | Seasonal model with exogenous shifts |
| chapter8_nor_fin_forecast.prg | Local trend model, out-of-sample predictions |
| chapter8_norway.prg | Local level model, out-of-sample predictions |
| chapter8_uk.prg | UC model with seasonal |
| chapter8_uk_diags.prg | UC model with seasonal; diagnostics |
| chapter8_uk_forecast.prg | UC model with seasonal; out-of-sample predictions |
| chapter8_uk_missing.prg | UC model with seasonal; missing data handling |
| chapter9_bivariate.prg | Seasonal model with multiple observables |
| commandeurkoopman.zip | Zip file with all programs, data files |