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Re: st: time series query

From   Richard Goldstein <>
Subject   Re: st: time series query
Date   Tue, 29 May 2007 08:42:20 -0400

Thanks to both Robert and Kit -- I will look elsewhere
for a solution to my problem


Robert A Yaffee wrote:
State space models can easily accommodate interventions--including
pulse, level, slope shifts, as well as outlier patches. However, there is no
procedure for a modeling unobserved components time series model
in Stata yet.
Robert A. Yaffee, Ph.D.
Research Professor
Shirley M. Ehrenkranz
School of Social Work
New York University

home address:
Apt 19-W
2100 Linwood Ave.
Fort Lee, NJ
Phone: 201-242-3824
Fax: 201-242-3825

----- Original Message -----
From: Richard Goldstein <>
Date: Monday, May 28, 2007 3:37 pm
Subject: st: time series query
To: statalist <>

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?



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