English, Article edition: HPRESCOTT: Stata module to implement Hodrick-Prescott filter for timeseries data Christopher F Baum

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Bookmark: http://trove.nla.gov.au/version/103928
Physical Description
  • code
Language
  • English

Edition details

Title
  • HPRESCOTT: Stata module to implement Hodrick-Prescott filter for timeseries data
Author
  • Christopher F Baum
Physical Description
  • code
Notes
  • hprescott implements the filter proposed by Hodrick and Prescott (1997) for the transformation of timeseries data to focus on business cycle frequencies. hprescott 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 hprescott8.
  • time-series data, filtering, Hodrick, Prescott, business cycles
  • RePEc:boc:bocode:s447001
Language
  • English
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