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st: Kalman filter SVAR


From   Ralph.Heinrich@unece.org
To   statalist@hsphsun2.harvard.edu
Subject   st: Kalman filter SVAR
Date   Fri, 8 Apr 2005 18:45:44 +0200



Hi,

I am trying to estimate natural interest rates and potential outputs for
new EU member countries using the approach in Laubach and Williamson
(2001), Measuring the Natural Rate of Interest, Board of Governors of the
Federal Reserve System working paper.

The approach involves using the Kalman filter to estimate an SVAR. Anyone
know how this can be done in Stata (the only reference to the Kalman filter
I found in Stata's help resources or on this list was in connection with -
arima -; perhaps I should add that I regrettably don't have access to the
TS manual, so apologies if the question is answered in that manual) ?

Thanks

Dr. Ralph Heinrich
Economic Affairs Officer
Economic Analysis Division
UN Economic Commission for Europe

room 441
Palais des Nations
1211 Geneva 10
phone: 0041 22 917 1269
http://www.unece.org/ead/ead_h.htm



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