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st: re: time series query
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?
To my knowledge Stata has no facility, either official or user-
written, for state space modelling. Could it be done? Yes, especially
as state space techniques are usually written as various linear
algebraic expressions, and doing that in Mata would be
straightforward. But it has not been done (and without Mata it would
be a bear).
Kit Baum, Boston College Economics and DIW Berlin
An Introduction to Modern Econometrics Using Stata:
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