HP Filter with Stationary Models

Estimation SMM/GMM/IRF-Matching
2

  1. Yes, the comparison of moments between data and model generally should involve the same filtering. For the opposite perspective, see One side HP-filter and model fit to real data - #11 by jpfeifer

  2. That is not yet possible. We are working on supporting it for SMM. See Draft: SMM: Enable filtering (!2391) · Merge requests · Dynare / dynare · GitLab

  3. Not yet.