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Re: st: State-Space Models


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: State-Space Models
Date   Thu, 17 Apr 2008 14:36:08 -0400

Jeff,
   Stata 10 does not yet have provision for user defined state space models
within the state space form for extended or augmented Kalman filter
or MCMC particle filters.
   Regards,
         Bob Yaffee


Robert A. Yaffee, Ph.D.
Research Scientist
Silver School of Social Work
New York University


----- Original Message -----
From: "Rosen, Jeff - INV" <jsrosen@aegonusa.com>
Date: Thursday, April 17, 2008 1:54 pm
Subject: st: State-Space Models
To: statalist@hsphsun2.harvard.edu


> Hi,
> 
> Does STATA 10 have an easy command to run a Markov switching state-space
> model? I didn't see anything listed in the TS manual or in the statalist
> archive.
>  
> Thanks,
>  
> Jeff S. Rosen, PhD
> 
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