Time series filtering techniques in Stata
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.
|Date of creation:||18 Sep 2006|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.stata.com/meeting/12uk|
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