Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Ideal band pass filter

From   Jorge Eduardo Pérez Pérez <[email protected]>
To   <[email protected]>
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:

Thank you
Jorge Eduardo Pérez Pérez

*   For searches and help try:

© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index