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Time series filtering techniques in Stata

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  • Kit Baum

    (Boston College)

Abstract

I will describe a number of time series filtering techniques, including the Hodrick-Prescott, Baxter-King and bandpass filters and variants, and present new Mata-coded versions of these routines which are considerably more efficient than previous ado-code routines. Applications to an economic time series will be discussed.

Suggested Citation

  • Kit Baum, 2006. "Time series filtering techniques in Stata," North American Stata Users' Group Meetings 2006 2, Stata Users Group.
    • Handle: RePEc:boc:asug06:2
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    File URL: http://repec.org/nasug2006/TSFiltering_beamer.pdf
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    File URL: http://repec.org/nasug2006/tsfiltering.do
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    File URL: http://repec.org/nasug2006/reer.raw
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    Cited by:

    1. El-Shagi, Makram, 2011. "Inflation expectations: Does the market beat econometric forecasts?," The North American Journal of Economics and Finance, Elsevier, vol. 22(3), pages 298-319.
    2. Caporale, Guglielmo Maria & Kang, Woo-Young & Spagnolo, Fabio & Spagnolo, Nicola, 2022. "The COVID-19 pandemic, policy responses and stock markets in the G20," International Economics, Elsevier, vol. 172(C), pages 77-90.
    3. El-Shagi, Makram, 2009. "Inflation Expectations: Does the Market Beat Professional Forecasts?," IWH Discussion Papers 16/2009, Halle Institute for Economic Research (IWH).
    4. Chaubal Aditi, 2018. "P-star model for India: a nonlinear approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-28, December.
    5. Jetter, Michael, 2014. "Volatility and growth: Governments are key," European Journal of Political Economy, Elsevier, vol. 36(C), pages 71-88.
    6. Vadim Kufenko, 2020. "Hide-and-Seek with time-series filters: a model-based Monte Carlo study," Empirical Economics, Springer, vol. 59(5), pages 2335-2361, November.
    7. Carneiro,Francisco Galrao & Garrido,Leonardo, 2015. "New evidence on the cyclicality of fiscal policy," Policy Research Working Paper Series 7293, The World Bank.

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