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HPRESCOTT: Stata module to implement Hodrick-Prescott filter for timeseries data

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Author Info
Christopher F Baum () (Boston College)

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Abstract

hprescott implements the filter proposed by Hodrick and Prescott (1997) for the transformation of timeseries data to focus on business cycle frequencies. hprescott 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 hprescott8.

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File URL: http://fmwww.bc.edu/repec/bocode/h/hprescott.ado
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File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/h/hprescott.hlp
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File Function: help file
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File URL: http://fmwww.bc.edu/repec/bocode/h/hprescott8.ado
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File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/h/hprescott8.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 S447001.

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Programming language: Stata
Requires: Stata version 9.2 (8.2 for hprescott8)
Date of creation: 23 Oct 2004
Date of revision: 01 Aug 2006
Handle: RePEc:boc:bocode:s447001

Note: This module may be installed from within Stata by typing "ssc install hprescott". 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

Order Information:
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 Hodrick Prescott business cycles

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

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