State Space Methods inStata
Year: 2011
Type: article
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.
Source: Journal of Statistical Software
Authors: David M. Drukker, Richard B. Gates
Language: English
Subfield: Applied Mathematics
Field: Mathematics
Domain: Physical Sciences
Open Access status: diamond
OpenAlex ID: W1862433296