BUTTERWORTH: Stata module to implement Butterworth square-wave highpass filter for timeseries data
Abstractbutterworth filters one or more time series using the Butterworth square-wave highpass filter described in Pollock (J. Econometrics, 2000). It has somewhat similar behavior to the Hodrick-Prescott filter (see hprescott) but is more tunable.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S456743.
Programming language: Stata
Requires: Stata version 9.2
Date of creation: 03 Jul 2006
Date of revision:
Note: This module should be installed from within Stata by typing "ssc install butterworth". Windows users should not attempt to download these files with a web browser.
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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