tsset year
g GDPPRR=log(GDPPR)-log(GDPPR[_n-1])
// HP滤波
hprescott GDPPRR ,stub(HP) smooth(6.25)
//BK滤波
bking GDPPRR ,plo(2) phi(8) stub(BK) k(3)
//CF滤波
cfitzrw GDPPRR,plo(2) phi(8) stub(CF)
//移动平均
mvsumm GDPPRR if year>1959,gen(SD_GDPPRR) window(5) stat(sd) end
mvsumm CF_GDPPRR_1 if year>1959,gen(SD_CF_GDPPRR) window(5) stat(sd) end
twoway (line SD_CF_GDPPRR year if mod(year,5)==0) (connected SD_CF_GDPPRR year if mod(year,5)==0, mcolor(blue) msize(large) msymbo> l(circle))
stata 12版本以后新命令
Title
[TS] tsfilter -- Filter a time series, keeping only selected periodicities
Syntax
Filter one variable
tsfilter filter [type] newvar = varname [if] [in] [, options]
Filter multiple variables, unique names
tsfilter filter [type] newvarlist = varlist [if] [in] [, options]
Filter multiple variables, common name stub
tsfilter filter [type] stub* = varlist [if] [in] [, options]
filter Name See help for
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bk Baxter-King tsfilter bk
bw Butterworth tsfilter bw
cf Christiano-Fitzgerald tsfilter cf
hp Hodrick-Prescott tsfilter hp
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You must tsset or xtset your data before using tsfilter; see [TS] tsset and [XT] xtset.
varname and varlist may contain time-series operators; see tsvarlist.
options differ across the filters and are documented in each filter's manual entry.
Example
Setup
. webuse gdp2
Use the Christiano-Fitzgerald filter to estimate the cyclical component of the log of quarterly U.S. GDP
. tsfilter cf gdp_cf = gdp_ln
Plot the cyclical component