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help for hprescott8
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Apply Hodrick-Prescott filter to time series

        hprescott8 varlist [if exp] [in range] , stub(newvar) [ smooth(#) ]

    hprescott8 is for use in Stata 8.2. Users of more recent versions of Stata
    should use hprescott, which makes use of Mata.

    hprescott8 is for use with time-series data. You must tsset your data
    before using hprescott8; see help tsset. hprescott8 supports the by prefix,
    which may be used to operate on each time series in a panel.

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

Description

    hprescott8 applies the Hodrick-Prescott (1997) filter to one or more time
    series in varlist which must be under the aegis of 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. The default
    smoothing weight of 1600 is applied; this was specified by H-P as
    appropriate for quarterly macroeconomic data. The filtered series and
    smoothed series are placed in new variables, specified with the stub()
    option. The smoothed variables are identified by "_t" in their names.
    hprescott8 does not allow gaps within the observations of a time series.

Options

    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.
 
    smooth(#) specifies the smoothing parameter to be applied. The default is
        1600. Ravn and Uhlig (2002) have shown that the smoothing parameter
        should vary by the fourth power of the frequency observation ratios, so
        that for annual data a smoothing parameter of 6.25 is recommended,
        while for monthly data a smoothing parameter of 129,600 is recommended.


Examples

    . webuse lutkepohl, clear
 
    . hprescott8 investment, stub(HP)

    . hprescott8 D.investment D.income D.consumption if tin(1970q1,1979q4),
        stub(H)



Author

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


References

Hodrick, R. and Prescott, E. (1997). Post-war U.S. business cycles: An
empirical investigation. Journal of Money, Credit and Banking, 29(1), 1-16.

Edward C. Prescott, undated. "FORTRAN code for the Hodrick-Prescott filter,"
QM&RBC Codes 3, Quantitative Macroeconomics & Real Business Cycles at
http://ideas.repec.org

Ravn, Morten O. and Harald Uhlig (2002). On adjusting the Hodrick-Prescott
filter for the frequency of observations. Review of Economics and Statistics
84(2), 371-376.

Acknowledgements     

    This routine was translated from FORTRAN code written by Edward C.
    Prescott, available from http://ideas.repec.org/c/dge/qmrbcd/3.html Thanks
    to Massimo Giovannini for assistance in validating its results.
 

Also see

    On-line: bking (if installed), tsset