1.I have applied one-sided HP filter to log GDP per capita series and it produced first two observations of cycle component at technically zero (1E-07). It seems rather strange at that period economy was characterized by high unemployment and low GDP growth and so next few observations are negative. So is it a good idea to drop first observations when using one-sided HP filter ?
- I have only 56 observations, so mean of cyclical component after one-sided HP filtering is around -0.003. Is it proper to demean this series prior to using as observable in DSGE ?
Thanks for your reply.