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MVFILTER: Stata module to compute multivariate time-series filter

Author

Listed:
  • Gregorio Impavido

    (IMF)

Programming Language

Stata

Abstract

mvfilter uses the sspace high-pass filter to separate a time series into trend and cyclical components. The trend component may contain a deterministic or a stochastic trend. The smoothing parameter determines the periods of the stochastic cycles that drive the stationary cyclical component. It allows for and AR(p) process in the cyclical component and for exogenous variables in the observed equation of the sspace representation.

Suggested Citation

  • Gregorio Impavido, 2024. "MVFILTER: Stata module to compute multivariate time-series filter," Statistical Software Components S459295, Boston College Department of Economics, revised 02 Mar 2024.
    • Handle: RePEc:boc:bocode:s459295
    Note: This module should be installed from within Stata by typing "ssc install mvfilter". 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/m/mvfilter.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/m/mvfilter.sthlp
    File Function: help file
    Download Restriction: no
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