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Time series filtering techniques in Stata
Christopher F 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.
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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) This item may be available elsewhere in EconPapers: Search for items with the same title.
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Persistent link: http://EconPapers.repec.org/RePEc:boc:usug06:17
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