BKING: Stata module to implement Baxter-King filter for timeseries data
Abstractbking 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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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S421002.
Programming language: Stata
Requires: Stata version 9.2 (8.2 for bking8)
Date of creation: 13 Oct 2001
Date of revision: 30 Jun 2006
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
Web page: http://fmwww.bc.edu/EC/
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For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
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