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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.

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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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Bibliographic Info

Paper provided by Stata Users Group in its series United Kingdom Stata Users' Group Meetings 2006 with number 17.

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Date of creation: 18 Sep 2006
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Handle: RePEc:boc:usug06:17

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Web page: http://www.stata.com/meeting/12uk
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