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 …

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

1 Like