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From |
Kit Baum <baum@bc.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Re: hodrick prescott filter |

Date |
Sun, 1 Nov 2009 07:29:31 -0500 |

On Nov 1, 2009, at 2:33 AM, Michael wrote:

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.

. webuse grunfeld,clear

Kit Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html

An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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