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st: Sspace error form syntax with differenced dependent variable


From   Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Sspace error form syntax with differenced dependent variable
Date   Tue, 9 Aug 2011 15:30:26 -0400

Dear Statalist

I want to estimate a state-space model with a differenced dependent
variable d2.lrgdp , with the following code:

sspace (mu e.mu, state noconstant) (c1 l.c1 l.c2 e.c1, state
noconstant) (c2 l.c1 l.c2 e.c2, state noconstant) (D2.lrgdp mu c1
e.D2.lrgdp, noconstant)

However, my syntax for the error term in the observation equation (the
last parenthesis) is wrong, because i get the following error

-error terms specified for observation equations lrgdp, which do not exist

Do you know what is the proper error form syntax for -sspace- when the
dependent variables are differenced, or , in a more general case, when
they are modified by time series operators? I know I can just generate
a new variable for the difference and use it in the model, but I would
like to know if I can estimate my model without doing that.

Thank you
_______________________
Jorge Eduardo Pérez Pérez


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