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Re: st: re hodrick prescott filter


From   Michael Hanson <mshanson@mac.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: re hodrick prescott filter
Date   Sat, 31 Oct 2009 15:55:22 -0400

On Oct 29, 2009, at 12:45 PM, Marwan Elkhoury wrote:

I have a panel data with 180 countries over 10 years (annual data) and I tried to run a hodrick prescott filter over it to smooth data by typing the following command in stata 10:

H-P filtering 12 annual observations seems a highly dubious practice, even if it were possible. Even detrending such a short sample with a quadratic or cubic trend seems to be asking quite a lot -- if not too much -- from those data.


by cntry: hprescott realgdomcred realgdpgrowth if tin(1997, 2008), stub(HP) smooth(6.25)

and I get error 3301 subscript invalid;

I've tried to increase memory size to 100M
and maxvar size to 10000
as well as matsize to 6500 (could not increase it to more)

Kit Baum, the author of -hprescott-, would be the best person to answer this question. Nonetheless, I would not be surprised if the - hprescott- code implicitly assumes a much longer time series, for the reason stated above.

Best,
Mike

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