HP filter in linear models

You did not say “one-sided” before. Using a two-sided HP filter would clearly be problematic. The one-sided one is a more defensible choice. It has for example been used in the context of Bayesian estimation in
See also

That being said, pretty much any filtering device will be controversial as you need to (implicitly or explicitly) take a stand on the underlying DGP, where your prior may be different from the referee’s. See also

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