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st: Setting up a Kalman Filter on Stata 11

From   Radoslav Todorov <[email protected]>
To   [email protected]
Subject   st: Setting up a Kalman Filter on Stata 11
Date   Fri, 11 Feb 2011 11:54:31 +0200 (EET)

I recently moved to Stata 11 and now I am trying to set up a Kalman Filter for my Senior Thesis.
Does anybody have knowledge of a thread that might help me or somebody who has actually done it.
I would be more than happy to share my progress so far and to list the specification equations.
I suspect that I can manipulate the matrices directly in excel in order to facilitate the process, but I am still not sure if the sspace form would actually work.
Thank you in advance.

Kind Regards,

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