MVFILTER: Stata module to compute multivariate time-series filter

Gregorio Impavido ()
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Gregorio Impavido: IMF

Statistical Software Components from Boston College Department of Economics

Abstract: mvfilter uses the sspace high-pass filter to separate a time series into trend and cyclical components. The trend component may contain a deterministic or a stochastic trend. The smoothing parameter determines the periods of the stochastic cycles that drive the stationary cyclical component. It allows for and AR(p) process in the cyclical component and for exogenous variables in the observed equation of the sspace representation.

Language: Stata
Requires: Stata version 16
Keywords: filter; time series; sspace; trend; cycle (search for similar items in EconPapers)
Date: 2024-02-21, Revised 2024-03-02
Note: This module should be installed from within Stata by typing "ssc install mvfilter". 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/m/mvfilter.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mvfilter.sthlp help file (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s459295

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