st: Re: -HPRESCOTT- problem

[ajjee <ajjee1@yahoo.com>]

Thanks Baum!

I find no problem with the example. I think there might be some problem with
my dataset. I have missing data for some countries in some years. Is it the
problem? and if it is, then what to do?

Regards,





On 26 March 2011 12:06, Kit Baum <kitbaum@me.com> wrote:
<>
On Mar 26, 2011, at 2:33 AM, Ajee wrote:

> I've a panel dataset of 130 countries over the period 1970-2008. I'm
> facing
> a problem with -hprescott-. When I write the command
>
> xtset country year
>
> by country: hprescott  gdp_constant , stub (hp) smooth(6.25) , the result
> is
> no observations
>
> but when I don't give the smoothing parameter,that is,
>
> by country: hprescott  gdp_constant , stub (hp)
>
> it works assuming a smoothing parameter of 1600 which is for quarterly
> data(I think). Please help.

I see no problem with this command:


. webuse grunfeld, clear

. by company: hprescott invest, stub(hp)

. by company: hprescott invest, stub(hp2) smooth(6.25)

. tsset
      panel variable:  company (strongly balanced)
       time variable:  year, 1935 to 1954
               delta:  1 year

Try that on your machine.

Kit Baum
kitbaum@me.com


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