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| From | Edinaldo Tebaldi <etebaldi@bryant.edu> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | st: how to get the dynamic multiplier for Kalman Filter after sspace |
| Date | Wed, 26 Jan 2011 21:54:14 -0500 |
I estimated a dynamic factor model using "sspace" and then used the Kalman Filter to obtain the "common component". However, I need obtain the Dynamic Multipliers for the Kalman Filter, which (I think) are generated in intermediate calculations that are needed to calculate the common component. Is there a built-in function to do so? Do you have any suggestion on how to get the dynamic multipliers? Any help is greatly appreciated. Thanks, Edi Sent via MS-ForeFront SPAM filter * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/