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st: filters in stata
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
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