Directory

Bayesian Filtering Library

Bayesian Filtering Library programes in Social Science Study

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CFITZRW: Stata module to implement Christiano-Fitzgeral...

2006 Downloadable! cfitzrw filters one or more time series using the Christiano-Fitzgerald Random Walk band-pass filter described in Christiano and Fitzgerald (Int Econ Rev, 2003). They demonstrate that the filter, an approximation to the "ideal" band-pas ...

BUTTERWORTH: Stata module to implement Butterworth squa...

2006 Downloadable! butterworth filters one or more time series using the Butterworth square-wave highpass filter described in Pollock (J. Econometrics, 2000). It has somewhat similar behavior to the Hodrick-Prescott filter (see hprescott) but is more tuna ...

POSTRRI: Stata module to calculate posterior relative r...

2006 Downloadable! postrri provides an easy way to do Bayesian analyses via inverse-variance (information) weighted averaging of the prior with the frequentist relative risk. It is an immediate command, see help immed. This Stata programe is listed in ID ...

BIC: Stata module to evaluate the statistical significa...

2005 Downloadable! bic is a post-estimation command that uses the Bayesian Information Criterion (BIC) for estimating the probability that a variable is part of a model, the equivalent of the statistical significance of a variable's effect. bic estimates ...

HPRESCOTT: Stata module to implement Hodrick-Prescott f...

2004 Downloadable! hprescott implements the filter proposed by Hodrick and Prescott (1997) for the transformation of timeseries data to focus on business cycle frequencies. hprescott makes use of Mata and requires Stata 9.2. An older, slower version of th ...

WHOTDECK: Stata module to perform multiple imputation u...

2003 Downloadable! whotdeck will tabulate the missing data patterns within the varlist. A row of data with missing values in any of the variables in the varlist is defined as a `missing line' of data, similarly a `complete line' is one where all the varia ...

CIJ: Stata module for binomial confidence intervals for...

2002 Downloadable! cij computes standard errors and binomial confidence intervals for 0/1 variables. ciji is the immediate form of cij, for which specify the number of observations and the number of successes. With both commands confidence intervals are c ...

BPASS: Stata module to compute band pass filter for tim...

2001 Downloadable! bpass filters time series data using an approximation to the band pass filter as discussed in the paper "The Band Pass Filter" by Lawrence J. Christiano and Terry J. Fitzgerald (1999). This Stata programe is listed in IDEAS by Eduard P ...

BKING: Stata module to implement Baxter-King filter for...

2001 Downloadable! 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 freq ...