State Space Methods in Stata

David M. Drukker, Richard B. Gates

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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.

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