The difficulty here is the infinite window width. In practice you
cannot set up an infinitely long dataset in Stata, so you
must compromise somewhere. Is there any scope for doing this
in the frequency domain? I never got as far as doing Fourier
transforms in my head.
Nick
[email protected]
Juliusz Jablecki
I was wondering if you could help me with constructing a moving-average
type
of filter in Stata. Say I have a time series X_t and I want to smooth it
in
the following way:
X_t(b)=[1-b/1+b]*[\sum(k=-inf/inf)b^|k|*X_(t+k)], 0<b<1
That is, X_t(b) is supposed to be a moving average with weights
declining as
we move away from the center (the idea is borrowed from Robert Lucas's
paper
"Two Illustrations of the Quantity Theory of Money"). How do I go about
this
problem?
Thanks,
Juliusz
*
* 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/
*
* 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/
