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RE: st: State-Space Models


From   "Rosen, Jeff - INV" <jsrosen@aegonusa.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: State-Space Models
Date   Thu, 17 Apr 2008 14:42:17 -0400

Thanks for your help. Unfortunately, that's what I was afraid of. Does
anyone know of a good program that does have the ability to run
state-space models?

Thanks,

Jeff 

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Robert A
Yaffee
Sent: Thursday, April 17, 2008 2:36 PM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: State-Space Models

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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