HPRESCOTT: Stata module to implement Hodrick-Prescott filter for timeseries data

Christopher Baum ()

Statistical Software Components from Boston College Department of Economics

Abstract: hprescott implements the filter proposed by Hodrick and Prescott (1997) for the transformation of timeseries data to focus on business cycle frequencies. hprescott makes use of Mata and requires Stata 9.2. An older, slower version of this routine compatible with Stata 8.2 has been provided as hprescott8.

Language: Stata
Requires: Stata version 9.2 (8.2 for hprescott8)
Keywords: time-series data; filtering; Hodrick; Prescott; business cycles (search for similar items in EconPapers)
Date: Written
Note: This module may be installed from within Stata by typing "ssc install hprescott". Windows users should not attempt to download these files with a web browser.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/h/hprescott.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/h/hprescott.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/h/hprescott8.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/h/hprescott8.hlp help file (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s447001

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