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Time series filtering techniques in Stata

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Author Info
Kit Baum () (Boston College)

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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.

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Publisher Info
Paper provided by Stata Users Group in its series North American Stata Users' Group Meetings 2006 with number 2.

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Date of creation: 23 Jul 2006
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Handle: RePEc:boc:asug06:2

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