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.
. 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
. by country: cfitzrw rgdppc, plo(2) phi(8) stub(SBY)
Christopher F. Baum, Boston College, USA email@example.com
Martha Lopez, Boston College, USA firstname.lastname@example.org
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
The Mata code of this routine was translated from MATLAB code made available by Pawel Kowal (2005).
On-line: hprescott (if installed), bking (if installed), tsset