Journal of Statistical Software

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Sample volume 1
Title State Space Methods in Stata
Author Drukker David M., Gates Richard B.
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, ltered, and smoothed estimates of the series and the states; dynamic forecasts and their con dence intervals; and residuals.
Citation
Keywords state-space, unobserved-components models, local-level model, local-linear-trend model, basic structural model, dynamic-factor model, vector autoregressive moving-average model, sspace.
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