HP gap in Taylor Rule

[jpfeifer]

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How would you implement this Ferroni paper? Trend agnostic

Hello Dynare Community, I’m trying to replicate Ferroni’s 2011 paper “Trend agnostic one-step estimation of DSGE models”, and I would like to know how would you implement the idea of the paper in Dynare. The idea, to sum up, is the following: Instead of filtering the observables first and later doing the estimation, Ferroni proposes the observables being filtered inside the model allowing it to model freely the trend specification and estimating at the same time the structural parameters and t…