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HAMILTONFILTER: Stata module to calculate the Hamilton Filter for a Single Time Series or for a Panel Dataset

Author

Listed:
  • Diallo Ibrahima Amadou

Programming Language

Stata

Abstract

hamiltonfilter calculates the Hamilton filter for a single time series or for a panel dataset. The command uses the Hamilton filter to separate a time series into trend and cyclical components. The Hamilton filter is utilized as an alternative to the Hodrick-Prescott high-pass filter. The theory behind the command hamiltonfilter is provided by Hamilton (2017). The paper also gives the criticisms of the Hodrick-Prescott filter and explains why the Hamilton filter is a superior alternative.

Suggested Citation

  • Diallo Ibrahima Amadou, 2018. "HAMILTONFILTER: Stata module to calculate the Hamilton Filter for a Single Time Series or for a Panel Dataset," Statistical Software Components S458449, Boston College Department of Economics, revised 01 Apr 2020.
    • Handle: RePEc:boc:bocode:s458449
    Note: This module should be installed from within Stata by typing "ssc install hamiltonfilter". 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.
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    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/h/hamiltonfilter.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/h/hamiltonfilter.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/h/hamiltonfilterdyearly.dta
    File Function: sample data file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/h/hamiltonfilterdquarterly.dta
    File Function: sample data file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/h/hamiltonfilterdmonthly.dta
    File Function: sample data file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/h/hamiltonfilterdgseven.dta
    File Function: sample data file
    Download Restriction: no
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    Citations

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    Cited by:

    1. Minetti, Raoul & Moreland, Timothy & Kokas, Sotirios, 2021. "Financial Consolidation and the Cyclicality of Corporate Financing," Working Papers 2021-1, Michigan State University, Department of Economics.

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