Can you filter data in Stata?
By default Stata commands operate on all observations of the current dataset; the if and in keywords on a command can be used to limit the analysis on a selection of observations (filter observations for analysis).
What does the HP filter do?
The Hodrick-Prescott (HP) filter refers to a data-smoothing technique. The HP filter is commonly applied during analysis to remove short-term fluctuations associated with the business cycle. Removal of these short-term fluctuations reveals long-term trends.
What is the main shortcoming of the Hodrick-Prescott filter HP filter in the calculation of the output gap?
Drawbacks to the Hodrick–Prescott filter The Hodrick–Prescott filter will only be optimal when: Data exists in a I(2) trend. If one-time permanent shocks or split growth rates occur, the filter will generate shifts in the trend that do not actually exist.
Why you should never use the Hodrick Prescott filter Hamilton?
Here’s why. (a) The Hodrick-Prescott (HP) filter introduces spurious dynamic relations that have no basis in the underlying data-generating process. (b) Filtered values at the end of the sample are very different from those in the middle and are also characterized by spurious dynamics.
Why you should not use HP filter?
(1) The HP filter produces series with spurious dynamic relations that have no basis in the underlying data-generating process. (2) Filtered values at the end of the sample are very different from those in the middle, and are also characterized by spurious dynamics.
Why you should never use the Hodrick-Prescott filter Hamilton?
Why you should use the Hodrick-Prescott filter at least to generate credit gaps?
Why you should use the Hodrick-Prescott filter – at least to generate credit gaps. In a follow-up paper we show that when projection gaps are estimated using a panel with the same coefficients imposed for all economies, they perform marginally better than the credit-to-GDP gap in predicting financial crises.
What is DI in Stata?
In Stata these are called respectively _N and _n. For more see this entry on the ATS website. There is however one exception: _n within the display command (often abbreviated as di) means: “display a new line” instead of “current observation number”.