This page provides links to example programs for Time Series Analysis by State Space Methods, by Durbin and Koopman (2001, Oxford Univ. Press).
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 |
| durkoop.zip | Zip file with all programs, data files |
| durkoop_pre700.zip | Zip file with older versions of files (pre Version 7.0) |
| durkp012.prg | DLM-Kalman filter |
| durkp019.prg | DLM-Kalman smoothing |
| durkp021.prg | DLM-Smoothed disturbances |
| durkp023.prg | DLM-Simulations/conditional simulations |
| durkp025.prg | DLM-Filtering and smoothing with missing values |
| durkp027.prg | DLM-Out of sample forecasting |
| durkp032.prg | DLM-Estimation of component variances |
| durkp035.prg | DLM-Diagnostic tests |
| durkp136.prg | Spline smoothing (regularly spaced data) |
| durkp162.prg | Structural time series model |
| durkp167.prg | Bivariate structural time series model |
| durkp169.prg | ARIMA models using state space techniques |
| durkp172.prg | Spline smoothing (irregularly spaced data) |
| durkp175.prg | Stochastic volatility-QMLE |
| durkp230.prg | DLM-Poisson model |
| durkp233.prg | DLM-Non-normal observation disturbances |
| durkp236.prg | Stochastic volaility-exact ML |
| durkp237.prg | DLM-Binary data |