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

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.