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st: Re: hodrick prescott filter


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.



I agree wholeheartedly with Michael that time series filtering techniques like the HP filter make little sense in the context of 10 observations. However I cannot reproduce the error:

. webuse grunfeld,clear

. by company:hprescott invest kstock if tin(1935,1947), stub(HP) smooth (6.25)

does indeed generate results for each company. Return code 3301 is a Mata error, but without an example of how this error can be generated, I don't know where it might be generating a problem.

Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html

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