Notice: On March 31, it was **announced** that Statalist is moving from an email list to a **forum**. The old list will shut down on April 23, and its replacement, **statalist.org** is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
Re: st: Fixed lag smoothing in state space model |

Date |
Thu, 2 Feb 2012 14:35:53 -0500 |

I got the answer from F. Tusell in Stack Overflow. "I am not aware of any package in R computing fixed lag smoothing estimates. However, unless you have to compute a great many of such estimates, I think that truncating the time series at t+N and computing the ordinary smoothed value would do what you want." _______________________ Jorge Eduardo Pérez Pérez On Wed, Feb 1, 2012 at 8:43 PM, Perez Perez Jorge Eduardo <perez.jorge@ur.edu.co> wrote: > 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 > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

- Prev by Date:
**st: RE: How do the Wald test chi-square statistic and the pseudo r-square relate to each other in clogit?** - Next by Date:
**st: -weight- spss: weight by -- telling stata the weight** - Previous by thread:
**st: Fixed lag smoothing in state space model** - Next by thread:
**st: Margin with two step estimator.** - Index(es):