Jeff,
Kim and Nelson on page xii of their book on Regime-Switching State Space
models say that their computer programs are
on http://www.econ.washington.edu/users/nelson/SSMARKOV.htm or that
you can email Charlie Nelson or Chang-Jin Kim.
Cheers,
Bob
Robert A. Yaffee, Ph.D.
Research Scientist
Silver School of Social Work
New York University
----- Original Message -----
From: "Kyle K. Hood" <[email protected]>
Date: Thursday, April 17, 2008 7:03 pm
Subject: Re: st: State-Space Models
To: [email protected]
> Fortran or Matlab?
>
> Rosen, Jeff - INV wrote:
> > Thanks for your help. Unfortunately, that's what I was afraid of. Does
> > anyone know of a good program that does have the ability to run
> > state-space models?
> >
> > Thanks,
> >
> > Jeff
> >
> > -----Original Message-----
> > From: [email protected]
> > [mailto:[email protected]] On Behalf Of Robert A
> > Yaffee
> > Sent: Thursday, April 17, 2008 2:36 PM
> > To: [email protected]
> > Subject: Re: st: State-Space Models
> >
> > Jeff,
> > Stata 10 does not yet have provision for user defined state space
> > models within the state space form for extended or augmented Kalman
> > filter or MCMC particle filters.
> > Regards,
> > Bob Yaffee
> >
> >
> > Robert A. Yaffee, Ph.D.
> > Research Scientist
> > Silver School of Social Work
> > New York University
> >
> >
> > ----- Original Message -----
> > From: "Rosen, Jeff - INV" <[email protected]>
> > Date: Thursday, April 17, 2008 1:54 pm
> > Subject: st: State-Space Models
> > To: [email protected]
> >
> >
> >
> >> Hi,
> >>
> >> Does STATA 10 have an easy command to run a Markov switching
> >> state-space model? I didn't see anything listed in the TS manual or
> in
> >>
> >
> >
> >> the statalist archive.
> >>
> >> Thanks,
> >>
> >> Jeff S. Rosen, PhD
> >>
> >> *
> >> * For searches and help try:
> >> * http://www.stata.com/support/faqs/res/findit.html
> >> * http://www.stata.com/support/statalist/faq
> >> * http://www.ats.ucla.edu/stat/stata/
> >>
> > *
> > * For searches and help try:
> > * http://www.stata.com/support/faqs/res/findit.html
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/support/faqs/res/findit.html
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
