English, Article edition: BKING: Stata module to implement Baxter-King filter for timeseries data Christopher F Baum; Martha Lopez

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Bookmark: http://trove.nla.gov.au/version/174447
Physical Description
  • code
Language
  • English

Edition details

Title
  • BKING: Stata module to implement Baxter-King filter for timeseries data
Author
  • Christopher F Baum
  • Martha Lopez
Physical Description
  • code
Notes
  • bking implements the band-pass filter proposed by Baxter and King (Rev Econ Stat, 1999) for the transformation of timeseries data to preserve business cycle frequencies. They demonstrate that it has desirable properties relative to frequency-domain methods such as band spectrum regression, and vis-a-vis the Hodrick-Prescott filter. bking makes use of Mata and requires Stata 9.2. An older, slower version of this routine compatible with Stata 8.2 has been provided as bking8.
  • time-series data, filtering, business cycles
  • RePEc:boc:bocode:s421002
Language
  • English
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