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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doaj-456bd16f194841318b246b924adecb192020-11-24T22:49:20ZengFoundation for Open Access StatisticsJournal of Statistical Software1548-76602011-05-014110State Space Methods in StataDavid M. DrukkerRichard B. GatesWe 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.http://www.jstatsoft.org/v41/i10/paperstate-spaceunobserved-components modelslocal-level modellocal-linear-trend modelbasic structural modeldynamic-factor modelvector autoregressive moving-average modelsspace |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
David M. Drukker Richard B. Gates |
spellingShingle |
David M. Drukker Richard B. Gates State Space Methods in Stata Journal of Statistical Software state-space unobserved-components models local-level model local-linear-trend model basic structural model dynamic-factor model vector autoregressive moving-average model sspace |
author_facet |
David M. Drukker Richard B. Gates |
author_sort |
David M. Drukker |
title |
State Space Methods in Stata |
title_short |
State Space Methods in Stata |
title_full |
State Space Methods in Stata |
title_fullStr |
State Space Methods in Stata |
title_full_unstemmed |
State Space Methods in Stata |
title_sort |
state space methods in stata |
publisher |
Foundation for Open Access Statistics |
series |
Journal of Statistical Software |
issn |
1548-7660 |
publishDate |
2011-05-01 |
description |
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. |
topic |
state-space unobserved-components models local-level model local-linear-trend model basic structural model dynamic-factor model vector autoregressive moving-average model sspace |
url |
http://www.jstatsoft.org/v41/i10/paper |
work_keys_str_mv |
AT davidmdrukker statespacemethodsinstata AT richardbgates statespacemethodsinstata |
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1725676246854008832 |