'Heavy-tailed density: outlier in gas consumption.
'Ref: Durbin and Koopman (2012) page 318

'Open the workfile
wfopen ".\EViews Addins\sspacetdist\gas_data.wf1"

'Put the model into state space form and estimate in Gaussian form
sspace ss_gas
ss_gas.append @signal gas = trend + season + [var=exp(c(1))]
ss_gas.append @state trend = trend(-1) + dtrend(-1)
ss_gas.append @state dtrend = dtrend(-1) + [var=exp(c(2))]
ss_gas.append @state season = -season(-1)-season1(-1)-season2(-1) + [var=exp(c(3))]
ss_gas.append @state season1 = season(-1)
ss_gas.append @state season2 = season1(-1)
ss_gas.append param c(1) .0 c(2) .0 c(3) .0
smpl 1960q1 1986q4
ss_gas.ml(optmethod=legacy)
show ss_gas

'Get smoothed estimates of seasonal and irregular components - Gaussian Model
ss_gas.makestates(t=smooth) *_sm1
ss_gas.makesignals(t=disturb) disturb1

'Estimate the model via add-in
ss_gas.sspacetdist(iters=50,delta=1e-02,adjsave)
show ss_gas_new

'Get smoothed estimates of seasonal and irregular components - Student's T Model
ss_gas_new.makestates(t=smooth) *_sm2
ss_gas_new.makesignals(t=disturb) disturb2

'Group variables and draw the chart. Please note that you'll have to adjust the scale of third graph manually.
group output.add season_sm1 season_sm2 disturb1 disturb2
freeze(mode=overwrite,chart) output.line(m)