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st: Ideal band pass filter


From   Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Ideal band pass filter
Date   Mon, 3 Jan 2011 15:12:05 -0500

Dear Statalist:

Is there an Stata implementation of the ideal band pass filter by
Corbae and Ouliaris?

This filter is described in:
Corbae and Ouliaris(2002) "Band Spectral regression with trending
data" Econometrica 70(3) pp 1067-110p
Corbae and Ouliaris (2006) "Extracting Cycles from Nonstationary data"
Econometric theory and Practice: Frontiers of Analysis and Applied
Research (Cambridge and New
York: Cambridge University Press), pp 167-177

There is an Eviews implementation:

http://forums.eviews.com/viewtopic.php?f=15&t=1513&st=0&sk=t&sd=a&start=15

Thank you
_______________________
Jorge Eduardo Pérez Pérez

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