HPRESCOTT: Stata module to implement Hodrick-Prescott filter for timeseries data
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.
|Requires:||Stata version 9.2 (8.2 for hprescott8)|
|Date of creation:||23 Oct 2004|
|Date of revision:||28 Oct 2009|
|Note:||This module should be installed from within Stata by typing "ssc install hprescott". Windows users should not attempt to download these files with a web browser.|
|Contact details of provider:|| Postal: |
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