Dear Statalist members,
I am trying to estimate the Harvey (1985) -Clark (1987) model in state space form, but don't know what initial constraints should be placed. Something similar has been discussed here
https://www.statalist.org/forums/for...s-of-variables
In the Harvey-Clark model, the trend is modeled as a local linear trend, and the cycle as an AR(2)
process:
μt= gt-1+μt-1+ηt
gt=gt-1+vt
zt=ρ1zt-1+ρ2zt-1+ξt
with μt and zt being the two unobserved componets (respectively the trend and the cycle). ηt vt and ξt are assumed to be i.i.d., mean-zero, Gaussian, and mutually uncorrelated processes, and ρ1 and ρ2 and the variances of the three shocks are parameters to be estimated (five in total).
I guess the right command would be sspace, but don't know what contraint option should be placed.
It would be really helpful and highly appreciated if you could tell me whether this is possible in Stata and if so, how.
Thank you very much in advance!
Giacomo
I am trying to estimate the Harvey (1985) -Clark (1987) model in state space form, but don't know what initial constraints should be placed. Something similar has been discussed here
https://www.statalist.org/forums/for...s-of-variables
In the Harvey-Clark model, the trend is modeled as a local linear trend, and the cycle as an AR(2)
process:
μt= gt-1+μt-1+ηt
gt=gt-1+vt
zt=ρ1zt-1+ρ2zt-1+ξt
with μt and zt being the two unobserved componets (respectively the trend and the cycle). ηt vt and ξt are assumed to be i.i.d., mean-zero, Gaussian, and mutually uncorrelated processes, and ρ1 and ρ2 and the variances of the three shocks are parameters to be estimated (five in total).
I guess the right command would be sspace, but don't know what contraint option should be placed.
It would be really helpful and highly appreciated if you could tell me whether this is possible in Stata and if so, how.
Thank you very much in advance!
Giacomo
