BKING: Stata module to implement Baxter-King filter for timeseries data

Christopher Baum and Martha Lopez ()
Additional contact information
Martha Lopez: Boston College

Statistical Software Components from Boston College Department of Economics

Abstract: bking implements the band-pass filter proposed by Baxter and King (Rev Econ Stat, 1999) for the transformation of timeseries data to preserve business cycle frequencies. They demonstrate that it has desirable properties relative to frequency-domain methods such as band spectrum regression, and vis-a-vis the Hodrick-Prescott filter. bking 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 bking8.

Language: Stata
Requires: Stata version 9.2 (8.2 for bking8)
Keywords: time-series data; filtering; business cycles (search for similar items in EconPapers)
Date: 2001-10-13, Revised 2006-06-30
Note: This module may be installed from within Stata by typing "ssc install bking". 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.
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/b/bking.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/b/bking.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/b/bking8.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/b/bking8.hlp help file (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s421002

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().