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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 19:45:27 -0400

Jeff,
  Kim and Nelson on page xii of their book on Regime-Switching State Space
models say that their computer programs are 
on http://www.econ.washington.edu/users/nelson/SSMARKOV.htm or that
you can email Charlie Nelson or Chang-Jin Kim.

   Cheers,
        Bob 

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


----- Original Message -----
From: "Kyle K. Hood" <kyle.hood@yale.edu>
Date: Thursday, April 17, 2008 7:03 pm
Subject: Re: st: State-Space Models
To: statalist@hsphsun2.harvard.edu


> Fortran or Matlab?
> 
> Rosen, Jeff - INV wrote:
> > 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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