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Re: st: RE: filters in stata

From   "Juliusz =?utf-8?B?SmFixYJlY2tp?=" <[email protected]>
To   [email protected]
Subject   Re: st: RE: filters in stata
Date   Tue, 04 Dec 2007 17:40:41 +0100

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.
Sorry for not making that clear from the outset. Lucas's idea was to replace the missing observations by zeros, and that should be fine, except I don't have a clue as to how to actually program such a filter. Again, I'm trying to smooth a series X_t with the following filter (dependent on b):

X_t(b)=[1-b/1+b]*[\sum(k=-inf/inf)b^|k|*X_(t+k)], 0<b<1
and we replace the infinitely many missing observations by zeros.
Any ideas?
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