Time series filtering techniques in Stata
Christopher Baum ()
United Kingdom Stata Users' Group Meetings 2006 from Stata Users Group
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
References: Add references at CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
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)
Working Paper: Time series filtering techniques in Stata (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: /RePEc:boc:usug06:17
Access Statistics for this paper
More papers in United Kingdom Stata Users' Group Meetings 2006 from Stata Users Group
Contact information at EDIRC.
Series data maintained by Christopher F Baum ().