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Re: st: Fixed lag smoothing in state space model

From   Jorge Eduardo Pérez Pérez <>
To   "" <>
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
<> 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
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