I have real price data for 55 years and want to study its trends. for this i am trying to estimate the Unobserved Components (UC) Model. Which software will be better eviews or stata? Also what are the steps to estimate UC model?
Your second question (steps to estimate UC model) is too broad to be covered here. Below I give you some references.
- Some issues to be considered when fitting the basic structural model by maximum likelihood in the time domain are discussed in this document.
- Section 6 in this document describes the process of fitting these models by maximum likelihood in the frequency domain.
- The Expectation-Maximization algorithm is an alternative approach to estimate the parameters of the basic structural model, a discussion is given here.
- The Special Volume Statistical Software for State Space Method of the Journal of Statistical Software includes two papers and sample code related to EViews and Stata. Bayesian methods to fit state space models are illustrated in the issue number 4 of this volume.
The following textbooks are good references to study these methods:
- Durbin, J. and Koopman, S. J. (2001). "Time Series Analysis by State Space Methods". Oxford University Press.
- Harvey, A. C. (1989). "Forecasting, Structural Time Series Models and the Kalman Filter". Cambridge University Press.