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...
Main Authors: | David M. Drukker, Richard B. Gates |
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Format: | Article |
Language: | English |
Published: |
Foundation for Open Access Statistics
2011-05-01
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Series: | Journal of Statistical Software |
Subjects: | |
Online Access: | http://www.jstatsoft.org/v41/i10/paper |
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