Dear all,
I'm wondering if we can use only the filtering part of calculation done in -sspace- with a fixed set of parameters.
What I'm thinking is to estimate potential output for developing countries using the Kalman Filter with panel data. Potential output is assumed to be nonstationary and initial values need to be estimated by country (serving as a country-fixed effect), but structural parameters (e.g., Phillips Curve's coefficients) and the variances of shocks are assumed to be common across countries so that I can use more data observations than a single-country estimation. Issues on developing country research are a short sample period and high data volatility, so I would like to mitigate them by using panel estimation, which has limitations by its own like the strong assumption of common parameters.
Toward the panel Kalman Filter, my idea is to use the filtering part of -sspace- to calculate likelihood given a fixed set of parameters by country, and then, to aggregate them up to form the likelihood in the panel setting, which can be used in estimation using -ml- or so.
My version of Stata is 14.0 and in my understanding, -sspace- does not allow multiple panels. Of course, if there are any other ways (functions/ado files) that allow us to estimate a panel state space model, then there would be no need for all of this.
I would very much appreciate any advice or comments on this.
Best Regards,
Futoshi
--
Futoshi Narita (Mr.)
Economist
Developing Markets Strategy Unit
Strategy, Policy, and Review Department
International Monetary Fund
TEL: 202-623-7143
Email: fnarita@imf.org
I'm wondering if we can use only the filtering part of calculation done in -sspace- with a fixed set of parameters.
What I'm thinking is to estimate potential output for developing countries using the Kalman Filter with panel data. Potential output is assumed to be nonstationary and initial values need to be estimated by country (serving as a country-fixed effect), but structural parameters (e.g., Phillips Curve's coefficients) and the variances of shocks are assumed to be common across countries so that I can use more data observations than a single-country estimation. Issues on developing country research are a short sample period and high data volatility, so I would like to mitigate them by using panel estimation, which has limitations by its own like the strong assumption of common parameters.
Toward the panel Kalman Filter, my idea is to use the filtering part of -sspace- to calculate likelihood given a fixed set of parameters by country, and then, to aggregate them up to form the likelihood in the panel setting, which can be used in estimation using -ml- or so.
My version of Stata is 14.0 and in my understanding, -sspace- does not allow multiple panels. Of course, if there are any other ways (functions/ado files) that allow us to estimate a panel state space model, then there would be no need for all of this.
I would very much appreciate any advice or comments on this.
Best Regards,
Futoshi
--
Futoshi Narita (Mr.)
Economist
Developing Markets Strategy Unit
Strategy, Policy, and Review Department
International Monetary Fund
TEL: 202-623-7143
Email: fnarita@imf.org