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Re: st: Ideal band pass filter
From
Jorge Eduardo Pérez Pérez <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: Ideal band pass filter
Date
Wed, 5 Jan 2011 19:12:23 -0500
Thank you. I am implementing this now in Stata.
_______________________
Jorge Eduardo Pérez Pérez
On Tue, Jan 4, 2011 at 4:21 AM, Nick Cox <[email protected]> wrote:
> According to
>
> . findi corbae ouliaris
>
> the answer is No.
>
> Nick
>
> Jorge Eduardo Pérez Pérez
>
>> Is there an Stata implementation of the ideal band pass filter by
>> Corbae and Ouliaris?
>>
>> This filter is described in:
>> Corbae and Ouliaris(2002) "Band Spectral regression with trending
>> data" Econometrica 70(3) pp 1067-110p
>> Corbae and Ouliaris (2006) "Extracting Cycles from Nonstationary data"
>> Econometric theory and Practice: Frontiers of Analysis and Applied
>> Research (Cambridge and New
>> York: Cambridge University Press), pp 167-177
>>
>> There is an Eviews implementation:
>>
>> http://forums.eviews.com/viewtopic.php?f=15&t=1513&st=0&sk=t&sd=a&start=15
>
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