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From | "Christopher A. Hartwell" <chartwel16@gmail.com> |
To | <statalist@hsphsun2.harvard.edu> |
Subject | RE: st: Hodrick-Prescott Filter issues |
Date | Mon, 28 May 2012 12:09:37 -0400 |
Kit, Thanks for the example and how to make a single variable of the smooth and residual series. You're correct, I'm using the hprescott routine instead of the other one (I'm running Stata 11 IC). Unfortunately, I still can't get to that point, and I know the problem is, as you correctly note, in the tsset, but I don't know how to get it where it needs to be. I open my data file, and then get this - . tsset panel variable: country1 (unbalanced) time variable: year, 1989 to 2010, but with gaps delta: 1 year The data I have is contiguous, though, from 1989-2010 but when I try to HP, this is what I get . by country1: hprescott bankcred1, stub(smoothcred) smooth(6.25) Number of gaps in sample: 1 (gap count includes panel changes) sample may not contain gaps r(198); Using tsreport, I get . tsreport, report panel list Number of gaps in sample: 8 Observations with preceding time gaps ------------------------------------ Record | country1 year ----------+------------------------- 90 | Austria 1999 190 | Belgium 1999 568 | France 1999 996 | Luxembourg 1994 1000 | Luxembourg 2000 1188 | Netherlands 1999 1479 | SAfrica 1992 1809 | Zambia 1993 HOWEVER, looking at the data, there are no gaps in the data. Austria goes 1998 1999 2000... all the way through. Same with Belgium, France, and all the others. Could you help me to identify what these gaps are and how to close them? Cheers, Chris Christopher A. Hartwell, PhD Economic Growth and Business Environment Consultant +1 202-415-6030 (m) +1 773-724-2310 (t/f) e-mail: chartwel16@gmail.com alternate emails: chartwel@post.harvard.edu, christopher.hartwell@msn.com -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Christopher Baum Sent: Sunday, May 27, 2012 4:23 AM To: statalist@hsphsun2.harvard.edu Subject: Re: st: Hodrick-Prescott Filter issues <> On May 27, 2012, at 8:33 AM, Christopher wrote: > I have a time-series pooled dataset, 91 countries from 1989-2010, with several financial variables. In particular, I want to run the series on bank credit through the HP filter to get a sense of trend deviation in bank credit over this time frame. However, I keep running into several problems: > > 1. I originally had an issue with missing data. I created a new variable called bankcred1 and then dropped all missing variables. > 2. Once I did that, I sorted by country and attempted by country: hprescott bankcred1, stub (smooth) lambda (6.25). I received an error message telling me that my data had gaps and thus it wouldn't work. > > However, I can't figure out where the gaps are. I've tsset-ed my data by country year, yearly... > > I ran tsreport bankcred1 and got an unbroken list of observations but it claimed that every panel change was a gap (and every country was a different panel). > > How can I > a) identify the "gap" > b) close it so stata knows that it's continuous (such as making the > dataset one panel?) > c) get all of the HP filters into one variable? > > I've never used HP on stata, I've done it on eViews because I found it more intuitive but for a database of this size that I need serious time-series computing power on, I need stata but am stymied on where the problems are. Chris is apparently using my -hprescott- routine from SSC rather than the official, more recently developed -tsfilter- routine. My routine works fine with panel data as long as the data are appropriately tsset: webuse grunfeld,clear tsset drop if company==2 & year<1940 drop if company==8 & year>1950 by company: hprescott invest, stub(I) egen invsmooth = rowtotal(I_invest_sm_*) drop I_invest_sm_* egen invresid = rowtotal(I_invest_*) tabstat invest invsmooth, by(company) generates two new variables per company. The egen rowtotal() can be used to make a single variable of the smooth and residual series. As you can see, it also deals with gaps at the beginning or end of each firm's series. My guess is that you do not have the data properly -tsset- or -xtset-. -hprescott-, like most Stata time-series commands, picks up information from -quietly tsset- or -tsreport-, so if the data are not properly identified as a panel, many commands will fail. 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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/