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Re: st: Ideal band pass filter


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Ideal band pass filter
Date   Tue, 4 Jan 2011 09:21:30 +0000

According to

. findi corbae ouliaris

the answer is No.

Nick

Jorge Eduardo Pérez Pérez

> 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

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