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HPRESCOTT: Stata module to implement Hodrick-Prescott filter for timeseries data

Author

Listed:
  • Christopher F Baum

    (Boston College)

Programming Language

Stata

Abstract

hprescott implements the filter proposed by Hodrick and Prescott (1997) for the transformation of timeseries data to focus on business cycle frequencies. hprescott 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 hprescott8.

Suggested Citation

  • Christopher F Baum, 2004. "HPRESCOTT: Stata module to implement Hodrick-Prescott filter for timeseries data," Statistical Software Components S447001, Boston College Department of Economics, revised 28 Oct 2009.
  • Handle: RePEc:boc:bocode:s447001
    Note: This module should be installed from within Stata by typing "ssc install hprescott". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/h/hprescott.ado
    File Function: program code
    Download Restriction: no

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

    File URL: http://fmwww.bc.edu/repec/bocode/h/hprescott8.ado
    File Function: program code
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/h/hprescott8.hlp
    File Function: help file
    Download Restriction: no
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