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BKING: Stata module to implement Baxter-King filter for timeseries data

Author

Listed:
  • Christopher F Baum

    () (Boston College)

  • Martha Lopez

    () (Boston College)

Abstract

bking implements the band-pass filter proposed by Baxter and King (Rev Econ Stat, 1999) for the transformation of timeseries data to preserve business cycle frequencies. They demonstrate that it has desirable properties relative to frequency-domain methods such as band spectrum regression, and vis-a-vis the Hodrick-Prescott filter. bking 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 bking8.

Suggested Citation

  • Christopher F Baum & Martha Lopez, 2001. "BKING: Stata module to implement Baxter-King filter for timeseries data," Statistical Software Components S421002, Boston College Department of Economics, revised 30 Jun 2006.
  • Handle: RePEc:boc:bocode:s421002
    Note: This module may be installed from within Stata by typing "ssc install bking". Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/b/bking.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/b/bking.hlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/b/bking8.ado
    File Function: program code
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/b/bking8.hlp
    File Function: help file
    Download Restriction: no

    More about this item

    Keywords

    time-series data; filtering; business cycles;

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