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st: Package -fdfilter- now available in SSC

From   Jorge Eduardo Pérez Pérez <[email protected]>
To   <[email protected]>
Subject   st: Package -fdfilter- now available in SSC
Date   Thu, 6 Jan 2011 19:03:39 -0500

Thanks to Christopher Baum, package -fdfilter- has been uploaded to SSC.

To install, write -ssc install fdfilter-

Stata module to implement Corbae-Phillips-Ouliaris frequency domain
filter to time series data.

-fdfilter- implements the frequency domain filter proposed in Corbae,
Phillps and Ouliaris (2002), Corbae and Ouliaris (2006) to extract
cycles from potentially non stationary data. It tends to produce
output similar to the Baxter-King filter, though without the end-point
issue (estimates end-points directly) -fdfilter- makes use of Mata and
requires Stata 9.2.

Jorge Eduardo Pérez Pérez

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