BKING: Stata module to implement Baxter-King filter for timeseries data
Christopher F. Baum, Martha Lopez · RePEc: Research Papers in Economics · 2001
bking implements the band-pass filter proposed by Baxter and King (Rev Econ Stat, 1999) for the transformation of timeseries data to preserve business cycle frequencies. They demonstrate that it has desirable properties relative to frequency-domain methods such as band spectrum regression, and vis-a-vis the Hodrick-Prescott filter. bking makes use of Mata and requires Stata 9.2. An older, slower version of this routine compatible with Stata 8.2 has been provided as bking8.