About hp_filter

Dynare help (legacy posts)
1

Dear All,

I have a doubt. Since the theoretical moments and IRF do NOT need simulation process to be calculated in an order=1 aproximation process , Is it correct to assume that the HP filter is not used to obtatin the correlations, autocorrelations. etc. results? How could I find the moments calculations with HP filtered data in an aproximation of order 1?

Thank you

Mauricio V

2

HP filtering isn’t use unless you request Dynare to use it using the option
HP_FILTER= integer

Best

Michel