CFITZRW: Stata module to implement Christiano-Fitzgerald Random Walk band pass filter for timeseries data

Christopher Baum and Martha Lopez ()
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Martha Lopez: Boston College

Statistical Software Components from Boston College Department of Economics

Abstract: cfitzrw filters one or more time series using the Christiano-Fitzgerald Random Walk band-pass filter described in Christiano and Fitzgerald (Int Econ Rev, 2003). They demonstrate that the filter, an approximation to the "ideal" band-pass filter, is reasonable for economic timeseries which are approximately random walk processes. In contrast to the Baxter-King filter (bking), the CF-RW filter is neither symmetric nor time-constant, but is capable of processing the entire time series.

Language: Stata
Requires: Stata version 9.2
Keywords: time-series data; filtering; business cycles; band-pass (search for similar items in EconPapers)
Date: 2006-06-30
Note: This module should be installed from within Stata by typing "ssc install cfitzrw". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/c/cfitzrw.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cfitzrw.hlp help file (text/plain)

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