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RE: st: hpfilter no longer creates a filtered series

From   Edinaldo Tebaldi <>
To   "" <>
Subject   RE: st: hpfilter no longer creates a filtered series
Date   Sat, 19 Feb 2011 14:09:39 -0500

Thanks. I just found the problem. hpfilter will not alert the user if the matrix size limitation has been reached and just "caput" by not producing any result or error message. The problem is fixed by increasing the memory available to build matrices("set matsize" ).
-----Original Message-----
From: [] On Behalf Of Christopher Baum
Sent: Saturday, February 19, 2011 1:27 PM
Subject: re: st: hpfilter no longer creates a filtered series

I have been using "hplfiter" for some time,...

Per the Statalist FAQ, you are asked to indicate where you got routines. hpfilter could be from the Stata Technical Bulletin, STB-5, which is definitely not usable with any modern version of Stata, or from Sean Becketti's website. That code is years old, and it may not function properly in modern Stata. 
Suggest that you findit hprescott for an alternative.


Kit Baum   |   Boston College Economics & DIW Berlin   |
                              An Introduction to Stata Programming  |
   An Introduction to Modern Econometrics Using Stata  |

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