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From |
"Austin Nichols" <austinnichols@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: RE: filters in stata |

Date |
Tue, 4 Dec 2007 12:16:03 -0500 |

Juliusz Jabłecki <juliusz.jablecki@student.uw.edu.pl>: I disagree that replacing missings by zeros in an infinite sum should be fine. I think the programming is fairly easy, but given that the task seems like a bad idea, not worth the time. Consider what such a method would do to a time series of 10 obs with b=0.5, picking some arbitrary nonzero X_t values for t in [1,10]. The obs near t=1 and t=10 will be smoothed toward zero, for no good reason. You could get very close to what you claim to want by running -lpoly- (possibly within panel using -statsby- perhaps) to do local mean smoothing using a Gaussian kernel and an appropriately chosen bandwidth, I think. But again, it's not clear to me that this is a good idea. On 12/4/07, Juliusz Jabłecki <juliusz.jablecki@student.uw.edu.pl> wrote: > > 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? > 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/

**Follow-Ups**:**Re: st: RE: filters in stata***From:*"Juliusz =?utf-8?B?SmFixYJlY2tp?=" <juliusz.jablecki@student.uw.edu.pl>

**References**:**st: filters in stata***From:*"Juliusz =?utf-8?B?SmFixYJlY2tp?=" <juliusz.jablecki@student.uw.edu.pl>

**st: RE: filters in stata***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

**Re: st: RE: filters in stata***From:*"Juliusz =?utf-8?B?SmFixYJlY2tp?=" <juliusz.jablecki@student.uw.edu.pl>

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