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

Author

Listed:
  • Yingyao Hu

    (Johns Hopkins University)

  • Robert Moffitt

    (Johns Hopkins University)

  • Yuya Sasaki

    (Department of Economics, Vanderbilt University)

Programming Language

Stata

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.

Suggested Citation

  • Yingyao Hu & Robert Moffitt & Yuya Sasaki, 2020. "CDECOMPOSE: Stata module to estimate canonical permanent-transitory state space models," Statistical Software Components S458788, Boston College Department of Economics, revised 04 Feb 2022.
    • Handle: RePEc:boc:bocode:s458788
    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.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/c/cdecompose.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/cdecompose.sthlp
    File Function: help file
    Download Restriction: no
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