Time series filtering techniques in Stata

Christopher Baum ()

North American Stata Users' Group Meetings 2006 from Stata Users Group

Abstract: I will describe a number of time series filtering techniques, including the Hodrick-Prescott, Baxter-King and bandpass filters and variants, and present new Mata-coded versions of these routines which are considerably more efficient than previous ado-code routines. Applications to an economic time series will be discussed.

New Economics Papers: this item is included in nep-ets
Date: Written

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http://repec.org/nasug2006/TSFiltering_beamer.pdf (application/pdf)
http://repec.org/nasug2006/tsfiltering.do do-file to reproduce results in talk (text/plain)
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Related works:
Working Paper: Time series filtering techniques in Stata (2006)
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