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From |
"Juliusz =?utf-8?B?SmFixYJlY2tp?=" <[email protected]> |

To |
[email protected] |

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

Date |
Tue, 04 Dec 2007 20:42:37 +0100 |

Good point, but Lucas simply skips the points near the beginning and the end (i.e. he doesn't plot them). He uses monthly data for a period of over 20 years so such a trick doesn't seem to be harmful. Anyway, I think I can handle the series once I know how to program such a filter.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 JabÅ‚ecki <[email protected]> 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

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**Follow-Ups**:**Re: st: RE: filters in stata***From:*"Austin Nichols" <[email protected]>

**References**:**st: filters in stata***From:*"Juliusz =?utf-8?B?SmFixYJlY2tp?=" <[email protected]>

**st: RE: filters in stata***From:*"Nick Cox" <[email protected]>

**Re: st: RE: filters in stata***From:*"Juliusz =?utf-8?B?SmFixYJlY2tp?=" <[email protected]>

**Re: st: RE: filters in stata***From:*"Austin Nichols" <[email protected]>

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