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st: RE: filters in stata


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: filters in stata
Date   Tue, 4 Dec 2007 12:15:19 -0000

The difficulty here is the infinite window width. In practice you 
cannot set up an infinitely long dataset in Stata, so you 
must compromise somewhere. Is there any scope for doing this 
in the frequency domain? I never got as far as doing Fourier 
transforms in my head. 

Nick
n.j.cox@durham.ac.uk 

Juliusz Jablecki

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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