Re: st: time series query

[Richard Goldstein <richgold@ix.netcom.com>]

Thanks to both Robert and Kit -- I will look elsewhere
for a solution to my problem

Rich

Robert A Yaffee wrote:
> Rich,
>     State space models can easily accommodate interventions--including
> pulse, level, slope shifts, as well as outlier patches.  However, there is no
> procedure for a modeling unobserved components time series model
> in Stata yet.
>     Regards,
>          Robert 
>     
> Robert A. Yaffee, Ph.D.
> Research Professor
> Shirley M. Ehrenkranz
> School of Social Work
> New York University
>
> home address:
> Apt 19-W
> 2100 Linwood Ave.
> Fort Lee, NJ
> 07024-3171
> Phone: 201-242-3824
> Fax: 201-242-3825
> yaffee@nyu.edu
>
> ----- Original Message -----
> From: Richard Goldstein <richgold@ix.netcom.com>
> Date: Monday, May 28, 2007 3:37 pm
> Subject: st: time series query
> To: statalist <statalist@hsphsun2.harvard.edu>
>
>
>
> > sacrificial academic ;-)
> >
> > I am a beginner in the use of time series techniques
> >
> > I have recently come across an article that discusses a technique that
> > I would very much like to use (Penzer, J (2007), "State Space Models for
> > Time Series with Patches of Unusual Observations," _Journal of Time
> > Series Analysis_, available online as of 2/7/07 but not yet published 
> > in the 
> > journal).
> >
> > I have no idea whether what he is talking about can be estimated in
> > Stata; I have looked at the TS manual and don't see anything about
> > state space models.
> >
> > Thus, the prime question is whether Penzer's technique can be
> > estimated in Stata?  A secondary question is whether Stata can
> > be used to estimate general state space meodel?
> >
> > Thanks,
> >
> > Rich
> >
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