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st: Time-series filtering in Stata


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Time-series filtering in Stata
Date   Fri, 28 Jul 2006 14:00:11 -0400

A number of new and improved time-series filtering techniques were unveiled at this week's NASUG meetings in Boston and are available from SSC. All take advantage of Mata. These include:

hprescott: Hodrick-Prescott filter, rewritten to use Mata; package contains Stata 8 version as well

bking: Baxter-King bandpass filter, rewritten to use Mata; package contains Stata 8 version as well

cfritzrw: Christiano-Fitzgerald random walk band pass filter

butterworth: Butterworth square wave high pass filter

The use of these filters is described in my presentation materials from the meetiings, which include a do-file and sample data, available from

http://ideas.repec.org/p/boc/asug06/2.html

Best wishes
Kit

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html


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