HAMILTONFILTER: Stata module to calculate the Hamilton Filter for a Single Time Series or for a Panel Dataset

Ibrahima Diallo

Statistical Software Components from Boston College Department of Economics

Abstract: hamiltonfilter calculates the Hamilton filter for a single time series or for a panel dataset. The command uses the Hamilton filter to separate a time series into trend and cyclical components. The Hamilton filter is utilized as an alternative to the Hodrick-Prescott high-pass filter. The theory behind the command hamiltonfilter is provided by Hamilton (2017). The paper also gives the criticisms of the Hodrick-Prescott filter and explains why the Hamilton filter is a superior alternative.

Language: Stata
Requires: Stata version 14
Keywords: Hamilton filter; time series; panel; Hodrick-Prescott (search for similar items in EconPapers)
Date: 2018-01-04, Revised 2020-04-01
Note: This module should be installed from within Stata by typing "ssc install hamiltonfilter". 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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Citations: View citations in EconPapers (1)

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/h/hamiltonfilter.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/h/hamiltonfilter.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/h/hamiltonfilterdyearly.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/h/hamiltonfilterdquarterly.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/h/hamiltonfilterdmonthly.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/h/hamiltonfilterdgseven.dta sample data file (application/x-stata)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458449

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