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st: time series query


From   Richard Goldstein <richgold@ix.netcom.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: time series query
Date   Mon, 28 May 2007 15:36:52 -0400

sacrificial academic ;-)

I am a beginner in the use of time series techniques

I have recently come across an article that discusses a technique that
I would very much like to use (Penzer, J (2007), "State Space Models for
Time Series with Patches of Unusual Observations," _Journal of Time
Series Analysis_, available online as of 2/7/07 but not yet published in the journal).

I have no idea whether what he is talking about can be estimated in
Stata; I have looked at the TS manual and don't see anything about
state space models.

Thus, the prime question is whether Penzer's technique can be
estimated in Stata? A secondary question is whether Stata can
be used to estimate general state space meodel?

Thanks,

Rich

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