Hello. I am using a calibrated log-linearized model and comparing its moments to HP-filtered log data. The model steady states are all set to zero. I wonder if should we apply the HP-filter to the simulations of the model or not, since they are already log deviations from the steady state? Or the…

It’s not about the mean, but the frequency components. If you consider your model to be the data generating process that created the empirical data, then a meaningful comparison involves using the same filter for both the model and the data. But there is an alternative approach that wants the DGSE …

Hi cmarchionatti, See @jpfeifer ’s explanations in the following thread [image] Comparing model with data after log-linearization Stochastic simulations Why do you get zeros? For the mean, that is expected. If it happens for the standard deviations, there is something wron…

Hello cmarch! I saw it already, however I did not understand why to HP-filter the log-linearized model simulations, since they are log-deviations from the steady state values (which are all zero in my model). Perhaps it is just for log-linearized models that have non-zero steady states… what do yo…

HP-Filtered simulation of log-linearized model

Stochastic simulations

cmarch 30 September 2023 13:28 2

Hi cmarchionatti,

See @jpfeifer’s explanations in the following thread