Introducing sspaneltvp: A Code to Estimating State-Space Time-Varying Parameter Models in Panels. An Application to Okun’s Law

Camarero Mariam (), Sapena Juan () and Tamarit Cecilio ()
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Camarero Mariam: Department of Economics, University Jaume I, INTECO Joint Research Unit, Campus del Riu Sec, E-12071 Castellón de la Plana, Spain
Sapena Juan: Economics Department, Inteco Joint Research Unit, Catholic University of Valencia, 3rd Trinitarios Street, E-46003 Valencia, Spain
Tamarit Cecilio: Applied Economics II Department, University of Valencia, INTECO Joint Research Unit, PO Box 22.006 – E-46071 Valencia, Spain

Studies in Nonlinear Dynamics & Econometrics, 2025, vol. 29, issue 4, 511-539

Abstract: This paper introduces a new code that provides researchers with a complete toolbox for estimating state-space time-varying parameter models. Our proposal extends the simple seminal framework into a panel-data one, combining both fixed (either common or country-specific) and varying components. Under specific conditions, this setting becomes a mean-reverting model, where the fixed mean parameter may include a deterministic trend. Regarding the transition equation, we allow for estimating different autoregressive alternatives and control instruments whose coefficients can be set up either common or idiosyncratic (this is particularly interesting for detecting asymmetries among individuals, i.e., countries, to common shocks). Furthermore, the GAUSS code allows for restrictions to the variances of both the transition and measurement equations. Finally, we illustrate our proposal with an empirical application to explore Okun’s Law for a panel of EU peripheral countries during the period 1965–2021.

Keywords: state space models; Kalman filter; time-varying parameters; Okun’s law (search for similar items in EconPapers)
JEL-codes: C23 F32 F36 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1515/snde-2023-0054

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