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Time series filtering techniques in Stata

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  • Kit Baum

    ()

    (Boston College)

Abstract

I will describe a number of time series filtering techniques, including the Hodrick-Prescott, Baxter-King and bandpass filters and variants, and present new Mata-coded versions of these routines which are considerably more efficient than previous ado-code routines. Applications to an economic time series will be discussed.

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File URL: http://repec.org/nasug2006/TSFiltering_beamer.pdf
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File URL: http://repec.org/nasug2006/tsfiltering.do
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File URL: http://repec.org/nasug2006/reer.raw
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Paper provided by Stata Users Group in its series North American Stata Users' Group Meetings 2006 with number 2.

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Date of creation: 23 Jul 2006
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Handle: RePEc:boc:asug06:2
Contact details of provider: Web page: http://www.stata.com/meeting/5nasug

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Cited by:

  1. Jetter, Michael, 2014. "Volatility and growth: Governments are key," European Journal of Political Economy, Elsevier, vol. 36(C), pages 71-88.
  2. El-Shagi, Makram, 2009. "Inflation Expectations: Does the Market Beat Professional Forecasts?," IWH Discussion Papers 16/2009, Halle Institute for Economic Research (IWH).

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