User`s guide

Estimating State-Space Time-Series Models
Commands for Estimating State-Space Time-Series Models
Command
Description
n4sid
Noniterative subspace method for estimating
discrete-time linear state-space models.
Note When you use pem to estimate a state-space
model,
n4sid creates the initial model.
pem
Estimates linear, discrete-time time-series
models using an iterative estimation method that
minimizes the prediction error.
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