Re: st: re hodrick prescott filter

[Michael Hanson <mshanson@mac.com>]

On Oct 29, 2009, at 12:45 PM, Marwan Elkhoury wrote:

> I have a panel data with 180 countries over 10 years (annual data)  
> and I tried to run a hodrick prescott filter over it to smooth data  
> by typing the following command in stata 10:

H-P filtering 12 annual observations seems a highly dubious practice,  
even if it were possible.  Even detrending such a short sample with a  
quadratic or cubic trend seems to be asking quite a lot -- if not too  
much -- from those data.


> by cntry: hprescott realgdomcred realgdpgrowth if tin(1997, 2008),  
> stub(HP) smooth(6.25)
>
> and I get error 3301 subscript invalid;
>
> I've tried to increase memory size to 100M
> and maxvar size to 10000
> as well as matsize to 6500 (could not increase it to more)

Kit Baum, the author of -hprescott-, would be the best person to  
answer this question.  Nonetheless, I would not be surprised if the - 
hprescott- code implicitly assumes a much longer time series, for the  
reason stated above.

Best,
Mike

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