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st: Fixed lag smoothing in state space model


From   Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Fixed lag smoothing in state space model
Date   Wed, 1 Feb 2012 20:43:14 -0500

Dear Statalist

I would like to compute fixed lag smoothing estimates of the state
variable in a state space model in Stata. These are estimations of the
state variable at one point in time given information for several
periods ahead, but not the whole sample

Putting it in equations and Stata jargon, currently -sspace- allows
the user to obtain three diferent types of estimations of the state
variable through the -smethod- option of predict in -sspace
postestimation-

- smethod(smooth) provides S t / T, where S is the state variable. The
estimation of the state at time t given the whole sample T.
- smethod(onestep) provides S t / t-1, the estimation with information
up to the previous period.
 -smethod(filter) provides S t /t , the estimation of the state with
current information.

I would like to compute S t / t+N, where N is a fixed number of
periods, and t+N<T.

Any suggestions of how can I achieve this in Stata? Is anyone aware of
an implementation of fixed lag smoothing in other software, maybe R?

Thank you,
_______________________
Jorge Eduardo Pérez Pérez


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