State Space Methods in Stata

State Space Methods in Stata

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 comput...

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Bibliographic Details
Main Authors: David M. Drukker, Richard B. Gates
Format: Article
Language:English
Published: Foundation for Open Access Statistics 2011-05-01
Series:Journal of Statistical Software
Subjects:
state-space
unobserved-components models
local-level model
local-linear-trend model
basic structural model
dynamic-factor model
vector autoregressive moving-average model
sspace
Online Access:http://www.jstatsoft.org/v41/i10/paper

Internet

http://www.jstatsoft.org/v41/i10/paper

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