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

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Christopher F Baum () (Boston College)
Martha Lopez () (Boston College)

Additional information is available for the following registered author(s):

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.

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File URL: http://fmwww.bc.edu/repec/bocode/b/bking.ado
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File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/b/bking.hlp
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File Function: help file
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File URL: http://fmwww.bc.edu/repec/bocode/b/bking8.ado
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File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/b/bking8.hlp
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File Function: help file
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Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S421002.

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Programming language: Stata
Requires: Stata version 9.2 (8.2 for bking8)
Date of creation: 13 Oct 2001
Date of revision: 30 Jun 2006
Handle: RePEc:boc:bocode:s421002

Note: This module may be installed from within Stata by typing "ssc install bking". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

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Web: http://repec.org/docs/ssc.php

For technical questions regarding this item, or to correct its listing, contact: (Christopher F Baum).

Related research
Keywords: time-series data filtering business cycles

Statistics
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This page was last updated on 2008-5-9.

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