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re:Re: st: Filtering methods with short time series


From   Christopher Baum <kit.baum@bc.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   re:Re: st: Filtering methods with short time series
Date   Mon, 31 Jan 2011 19:49:37 -0500

<>
Jorge said

Try to avoid -cfitzrw-, I have compared the output from
implementations of the Christiano Fritzgerald filter in other software
to the Stata output and they are different. I already contacted the
authors about this, but I haven't received any response.


Jorge raised this issue with me a couple of weeks ago. The Stata -cfitzrw- routine is, I believe, a faithful translation of a MATLAB
routine on the web. He also contacted the author of the MATLAB routine, but I guess he has not responded to the enquiry.

Jorge pointed to differences between the Stata results and results obtained from a R implementation and a Excel implementation.
The R implementation, as far as I can see, does not contain readable source code. I can run the routine, but I cannot analyze its
workings to determine what it may be doing differently than -cfitzrw-. The Excel routine has code that I can read, but cannot execute.
I will try to figure out what the differences may be based on that latter routine, but without the ability to run it (or the ability to view
the source code of the R routine) it is rather difficult to debug what flaws might exist in the logic of -cfitzrw-.

Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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