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
[email protected]
----- Original Message -----
From: Richard Goldstein <[email protected]>
Date: Monday, May 28, 2007 3:37 pm
Subject: st: time series query
To: statalist <[email protected]>
> 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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