Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: filters in stata


From   "Juliusz =?utf-8?B?SmFixYJlY2tp?=" <juliusz.jablecki@student.uw.edu.pl>
To   statalist@hsphsun2.harvard.edu
Subject   st: filters in stata
Date   Tue, 04 Dec 2007 09:45:56 +0100

Hi everyone,
I was wondering if you could help me with constructing a moving-average type of filter in Stata. Say I have a time series X_t and I want to smooth it in the following way:
X_t(b)=[1-b/1+b]*[\sum(k=-inf/inf)b^|k|*X_(t+k)], 0<b<1
That is, X_t(b) is supposed to be a moving average with weights declining as we move away from the center (the idea is borrowed from Robert Lucas's paper "Two Illustrations of the Quantity Theory of Money"). How do I go about this problem?
Thanks,
Juliusz
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/




© Copyright 1996–2021 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index