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st: Kalman filter


From   "Konstantin Komissarov" <kbpf@mail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Kalman filter
Date   Fri, 09 Aug 2002 01:40:05 -0500

I need to estimate the following equation:

Rt=B0t+sum(BitRt-i)+dHt+et

ht=a0+a1*ht-1+a2*e^2t-1  GARCH(1,1)  

Bit=Bit-1+vit

I think it is a Kalman filter with the GARCH-M model. How can I do it using Stata?




Best regards

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