|Authors:||David M. Drukker, Richard B. Gates|
|Title:||State Space Methods in Stata|
|Abstract:||We illustrate how to estimate parameters of linear state-space models using the Stata program sspace. We provide examples of how to use sspace to estimate the parameters of unobserved-component models, vector autoregressive moving-average models, and dynamic-factor models. We also show how to compute one-step, filtered, and smoothed estimates of the series and the states; dynamic forecasts and their confidence intervals; and residuals.|
Page views:: 15428. Submitted: 2010-01-15. Published: 2011-05-12.
State Space Methods in Stata
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