CFITZRW: Stata module to implement Christiano-Fitzgerald Random Walk band pass filter for timeseries data
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.
|Requires:||Stata version 9.2|
|Date of creation:||30 Jun 2006|
|Date of revision:|
|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: |
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|Order Information:||Web: http://repec.org/docs/ssc.php|
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