IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

Time series filtering techniques in Stata

Author Info

Listed author(s):
  • 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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://repec.org/nasug2006/TSFiltering_beamer.pdf
Download Restriction: no
File URL: http://repec.org/nasug2006/tsfiltering.do
File Function: do-file to reproduce results in talk
Download Restriction: no
File URL: http://repec.org/nasug2006/reer.raw
File Function: raw data file used for results in talk
Download Restriction: no

Paper provided by Stata Users Group in its series North American Stata Users' Group Meetings 2006 with number 2.

as
in new window

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

More information through EDIRC

Keywords:

Other versions of this item:

This paper has been announced in the following NEP Reports:

No references listed on IDEAS
You can help add them by filling out this form.

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

as
in new window


Cited by:

  1. El-Shagi, Makram, 2011. "Inflation expectations: Does the market beat econometric forecasts?," The North American Journal of Economics and Finance, Elsevier, vol. 22(3), pages 298-319.
  2. El-Shagi, Makram, 2009. "Inflation Expectations: Does the Market Beat Professional Forecasts?," IWH Discussion Papers 16/2009, Halle Institute for Economic Research (IWH).
  3. Jetter, Michael, 2014. "Volatility and growth: Governments are key," European Journal of Political Economy, Elsevier, vol. 36(C), pages 71-88.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Access and download statistics

When requesting a correction, please mention this item's handle: RePEc:boc:asug06:2. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.