BUTTERWORTH: Stata module to implement Butterworth square-wave highpass 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: butterworth filters one or more time series using the Butterworth square-wave highpass filter described in Pollock (J. Econometrics, 2000). It has somewhat similar behavior to the Hodrick-Prescott filter (see hprescott) but is more tunable.

Language: Stata
Requires: Stata version 9.2
Keywords: time-series data; filtering; business cycles; square-wave; highpass (search for similar items in EconPapers)
Date: 2006-07-03
Note: This module should be installed from within Stata by typing "ssc install butterworth". 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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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/b/butterworth.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/b/butterworth.hlp help file (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s456743

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