Time series filtering techniques in Stata

Christopher F Baum ()

United Kingdom 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: 2006-09-18
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Downloads: (external link)
http://repec.org/nasug2006/TSFiltering_beamer.pdf (application/pdf)
http://repec.org/nasug2006/tsfiltering.do do-file to reproduce results in talk (text/plain)
http://repec.org/nasug2006/reer.raw raw data file used for results in talk (text/plain)

Related works:
Working Paper: Time series filtering techniques in Stata (2006)
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Persistent link: http://EconPapers.repec.org/RePEc:boc:usug06:17

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