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help for cfitzrw              SSC distribution 30 June 2006
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Apply Christiano-Fitzgerald Random Walk band pass filter to time series

        cfitzrw varlist [if exp] [in range] , plo(#) phi(#) stub(abbrev)


    You must tsset your data before using cfitzrw; see help tsset.  If a panel
    calendar is in effect, the filter can be applied if a single panel is
    specified using if or in qualifiers, or with the by prefix.

    varlist may contain time-series operators; see help varlist.

    cfitzrw filters one or more time series using the Christiano-Fitzgerald
    Random Walk band-pass filter described in Christiano and Fitzgerald (2003).
    The plo() and phi() arguments specify the minimum period of oscillation and
    maximum period of oscillation of the desired component of the time series,
    where 2 <= plo < phi < infinity.

Options
    
    plo(#) and phi(#) specify the minimum and maximum period of oscillation to
        be retained in the time series, and must be given. For quarterly data,
        common values are 6 and 32, which preserve the components of the data
        with period between 1.5 and 8.0 years. For monthly data, common values
        are 18 and 96, which preserves the component of the data with period
        between 1.5 and 8.0 years. For annual data, common values are 2 and 8.

    stub(abbrev), which must be provided, specifies the "stub" from which new
        variable names will be created. Variables created by stub must be new
        variables. If the varlist contains time-series operators, the dots in
        their names are replaced by underscores so that the resulting new
        variables' names are legal.

Examples

    . webuse lutkepohl,clear

    . cfitzrw investment, plo(6) phi(32) stub(F)

    . cfitzrw investment income consumption, plo(6) phi(32) stub(filt)

    . cfitzrw D.investment, plo(4) phi(12) stub(fl)

    . use http://fmwww.bc.edu/ec-p/data/hayashi/sheston91.dta,clear

    . drop if country>4

    . tsset

    . by country: cfitzrw rgdppc, plo(2) phi(8) stub(SBY)


Authors

    Christopher F. Baum, Boston College, USA
    baum@bc.edu

    Martha Lopez, Boston College, USA
    lopezmo@bc.edu

References

Lawrence J. Christiano and Terry J. Fitzgerald, The Band Pass Filter,
International Economic Review, 2003, 44(2), 435-465.
    
Pawel Kowal (2005). MATLAB implementation of commonly used filters,
http://ideas.repec.org/c/wpa/wuwppr/0507001.html

Acknowledgements 

    The Mata code of this routine was translated from MATLAB code made
    available by Pawel Kowal (2005).

Also see

    On-line: hprescott (if installed), bking (if installed), tsset