State Space Methods in Stata

Abstract

We illustrate how to estimate parameters of linear state-space models using the Stata program sspace. We provide examples of how to use sspace to estimate the parameters of unobserved-component models, vector autoregressive moving-average models, and dynamic-factor models. We also show how to compute one-step, filtered, and smoothed estimates of the series and the states; dynamic forecasts and their confidence intervals; and residuals.

Keywords

• state-space
• unobserved-components models
• local-level model
• local-linear-trend model
• basic structural model
• dynamic-factor model
• vector autoregressive moving-average model
• sspace