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Re: st: Re: -HPRESCOTT- problem
From
Nick Cox <[email protected]>
To
[email protected]
Subject
Re: st: Re: -HPRESCOTT- problem
Date
Sat, 26 Mar 2011 11:22:45 +0000
The help for -hprescott- clearly states
"-hprescott- does not allow gaps within the observations of a time series."
One possibility is that you interpolate somehow to replace missing values.
Or you might write a clone of -hprescott- that gets round its rule in
other ways.
It remains unclear why you got results with one set of option choices
and not another.
Nick
On Sat, Mar 26, 2011 at 11:16 AM, ajjee <[email protected]> wrote:
> 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 <[email protected]> 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.
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