HP gap in Taylor Rule


I’m trying to replicate the paper “To Respond or Not to Respond: Measures of
the Output Gap in Theory and in Practice” (Segal, 2018) where he uses an HP filtered output gap instead of the actual output gap in the Taylor Rule running a stochastic simulation. Can someone help me with the code to do such an experiment?

Please have a look at line 567 of

So, if I understand, you have just used the first order condition of the HP filter minimization problem. Am I right?

Essentially yes. But the HP first order condition is used together with expectations in this case.

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I have another question. If instead to get a two sided HP filter I would like to get a one-sided one what would I have to do?

You may want to have a look at