CDECOMPOSE: Stata module to estimate canonical permanent-transitory state space models

Yingyao Hu, Robert Moffitt and Yuya Sasaki

Statistical Software Components from Boston College Department of Economics

Abstract: This program executes estimation of canonical permanent-transitory state space models based on Hu, Moffitt, and Sasaki (Quantitative Economics, 2019). Consider the state space model Y(t) = U(t) + V(t) where U(t) is an unobserved permanent component that follows the unit-root process U(t) = U(t-1) + W(t) and V(t) is an unobserved transitory component that follows the semiparametric ARMA(p,q) process V(t) = r(1)V(t-1) + ... + r(p)V(t-p) + G(e(t),...,e(t-q)). The command takes p + 2q + 2 periods of y(t) as input and estimates the mean, standard deviation, skewness, and kurtosis of the permanent component U(t) and transitory component V(t). In order to estimate these statistics for time period t, a user should use y(t-p-q)...y(t+q+1) as input.

Language: Stata
Requires: Stata version 14.2
Keywords: state space models; permanent; transitory (search for similar items in EconPapers)
Date: 2020-05-17, Revised 2022-02-04
Note: This module should be installed from within Stata by typing "ssc install cdecompose". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/c/cdecompose.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cdecompose.sthlp help file (text/plain)

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