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Re: Re: st: Filtering methods with short time series
From
Jorge Eduardo Pérez Pérez <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: Re: st: Filtering methods with short time series
Date
Tue, 1 Feb 2011 11:40:45 -0500
After installing the mFilter package in R, if one writes down:
require(mFilter)
cffilter
the source code for the routine is displayed.
_______________________
Jorge Eduardo Pérez Pérez
On Mon, Jan 31, 2011 at 7:49 PM, Christopher Baum <[email protected]> wrote:
> <>
> Jorge said
>
> Try to avoid -cfitzrw-, I have compared the output from
> implementations of the Christiano Fritzgerald filter in other software
> to the Stata output and they are different. I already contacted the
> authors about this, but I haven't received any response.
>
>
> Jorge raised this issue with me a couple of weeks ago. The Stata -cfitzrw- routine is, I believe, a faithful translation of a MATLAB
> routine on the web. He also contacted the author of the MATLAB routine, but I guess he has not responded to the enquiry.
>
> Jorge pointed to differences between the Stata results and results obtained from a R implementation and a Excel implementation.
> The R implementation, as far as I can see, does not contain readable source code. I can run the routine, but I cannot analyze its
> workings to determine what it may be doing differently than -cfitzrw-. The Excel routine has code that I can read, but cannot execute.
> I will try to figure out what the differences may be based on that latter routine, but without the ability to run it (or the ability to view
> the source code of the R routine) it is rather difficult to debug what flaws might exist in the logic of -cfitzrw-.
>
> 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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