st: Time-series filtering in Stata

[Kit Baum <baum@bc.edu>]

A number of new and improved time-series filtering techniques were  
unveiled at this week's NASUG meetings in Boston and are available  
from SSC. All take advantage of Mata. These include:

hprescott: Hodrick-Prescott filter, rewritten to use Mata; package  
contains Stata 8 version as well

bking: Baxter-King bandpass filter, rewritten to use Mata; package  
contains Stata 8 version as well

cfritzrw: Christiano-Fitzgerald random walk band pass filter

butterworth: Butterworth square wave high pass filter

The use of these filters is described in my presentation materials  
from the meetiings, which include a do-file and sample data,  
available from

http://ideas.repec.org/p/boc/asug06/2.html

Best wishes
Kit

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html


*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/