HP滤波与stata

Yiqing_Lv 发表于 2015-12-13 10:59
如果是季度数据，还需要用X-11进行进行季度调整！

您好，请问对季度数据进行处理时，HP滤波和季节调整，这两个的先后顺序是怎样的呢？谢谢！

先调整，再滤波！

面板数据也可以这么直接用吗？为啥我显示 sample may not include multiple panels

请问stata12版本的语句是什么呢

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. If one of these data
        frequencies are evident in the data, the appropriate default pa will be used. If other data frequencies are in use, or if the data frequency has not been set in tsset, the default
        smoothing parameter of 1600 will be applied. Specification of the smooth option will override default behavior.

statahelp文件里面说年度数据参数是取6.25啊

谢谢楼主！

Application in a panel:

    . webuse grunfeld, clear

    . by company: hprescott invest, stub(hp)

    . egen double hpsm = rowtotal(hp_invest_sm_*)

    . drop hp_invest_sm_*

    . egen double hpres = rowtotal(hp_invest_*)

    . drop hp_invest_*

guleijoy 发表于 2012-3-2 16:27
年度去100，季度取1600，月度取14400

所以年度数据是100还是400呢

guleijoy 发表于 2012-3-2 16:27
年度去100，季度取1600，月度取14400

所以年度数据到底是取100呢还是400呢？和楼主说的不一样？

onlyfor 发表于 2019-4-16 09:58
所以年度数据到底是取100呢还是400呢？和楼主说的不一样？

年度取400，季度1600