Fitting the term-structure in STAMP 8.10

In the Summer of 2008 we have upgraded STAMP to version 8.10 which is the current release version. The new items in version 8.10 are relatively small. The forecasting dialog allows the forecasting of the unobserved components as well as the future observations. More importantly, various errors have been removed from the program and some improvements have been introduced. Most notably, the batch facilities have improved and some bugs in the routines for models with explanatory variables and intervention variables have been solved. Finally, the automatic outlier and break detection procedure has been optimized further. for the professional use of state space methods in econometric, statistical and general time series analysis. The state space form provides an unified representation of a wide range of linear Gaussian time series models including autoregressive moving average (ARMA) models, time-varying regression models, dynamic linear models and unobserved components time series models. State space methods are used in many different fields including forecasting, signal extraction, seasonal adjustment, business cycle analysis, macroeconomic models, option pricing, financial analysis based volatility, interest rate term-structures (yield curve) and many more. To emphasize the powerful options available in STAMP 8.10, we would like to present a multivariate analysis of the interest rate term structure in this OxMetrics Newsletter.