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CFITZRW: Stata module to implement Christiano-Fitzgerald Random Walk band pass filter for timeseries data

  • Christopher F Baum


    (Boston College)

  • Martha Lopez


    (Boston College)

cfitzrw filters one or more time series using the Christiano-Fitzgerald Random Walk band-pass filter described in Christiano and Fitzgerald (Int Econ Rev, 2003). They demonstrate that the filter, an approximation to the "ideal" band-pass filter, is reasonable for economic timeseries which are approximately random walk processes. In contrast to the Baxter-King filter (bking), the CF-RW filter is neither symmetric nor time-constant, but is capable of processing the entire time series.

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Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S456741.

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Programming language: Stata
Requires: Stata version 9.2
Date of creation: 30 Jun 2006
Date of revision:
Handle: RePEc:boc:bocode:s456741
Note: This module should be installed from within Stata by typing "ssc install cfitzrw". Windows users should not attempt to download these files with a web browser.
Contact details of provider: Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
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