State Space Methods in Stata
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.
state-space sspace unobserved-components models vector autoregressive moving-average model dynamic-factor model local-level model local-linear-trend model basic structural model