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help for bking8
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Apply Baxter-King band pass filter to time series

        bking8 varlist [if exp] [in range] , plo(#) phi(#) stub(abbrev) [ k(#)
                 ]

    bking8 is for use in Stata 8.2. Users of more recent versions of Stata
    should use bking, which makes use of Mata.

    You must tsset your data before using bking8; 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.

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

    bking8 filters one or more time series using the Baxter-King symmetric
    band-pass filter described in Baxter and King (1995).  If a panel calendar
    is in effect, the filter can be applied if a single panel is specified
    using if or in qualifiers.  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.  The
    "Burns-Mitchell" settings for this filter, applied to quarterly data, are 6
    and 32 quarters, with k=12.

    You should set matsize 800 before calling this routine. Due to the matrix
    size limits, a timeseries longer than 800 periods cannot be handled by this
    routine in Intercooled Stata.

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, with k=12 (which loses three
        years' data from each end of the filtered series). 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, with k=3.

    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.

    k(#) specifies the lead-lag length of the filter. This many observations
        will be lost at each end of the filtered series. If not specified, k is
        set to 12 (Baxter and King's recommended value for quarterly data).

Examples

    . webuse lutkepohl,clear

    . bking8 investment, plo(6) phi(32) stub(F)

    . bking8 investment income consumption, plo(6) phi(32) k(8) stub(filt)

    . bking8 D.investment, plo(4) phi(12) stub(fl)

Author

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

References

Marianne Baxter and Robert G. King, Measuring Business Cycles: Approximate
Band-Pass Filters for Economic Time Series. Review of Economics and Statistics,
1999, 81(4), 575-593.

Lawrence J. Christiano and Terry J. Fitzgerald, The Band Pass Filter,
International Economic Review, 2003, 44(2), 435-465.
    
Acknowledgements 

This code is based on Eduard Pelz' MATLAB implementation of the Baxter-King
filter, available from
http://www.clev.frb.org/research/workpaper/1999/bpassm.txt and has been
validated against that code for selected series.

Also see