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st: Kalman Filter


From   [email protected]
To   [email protected]
Subject   st: Kalman Filter
Date   Thu, 3 Oct 2002 10:43:22 -0400

I checked the SSC archives, etc and did not find a Kalman filtering
program.  Is anyone aware of one for Stata?

I am thinking about writing my own , so anyone with a half-finished program
or suggestions for good algorithms, I'd appreciate those as well.

Mark

____________________________
Mark Schweitzer
Research Department
Federal Reserve Bank of Cleveland

work: 1 (216) 579 2014
fax: 1 (216) 579 3050



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