Problem with estimation in Dynare

[jpfeifer]

1. Your data file clearly does not contain the HP filter’s cyclical component. Did you save the trend?

HP filtered data : level of growth?

Please consult Pfeifer(2013): “A Guide to Specifying Observation Equations for the Estimation of DSGE Models” It would be A = y_t is your model is linearized, i.e. if y_t measures percentage deviations from trend and you HP-filtered the log level. 2. You should never use the two-sided HP-filter for Bayesian estimation. Use the one-sided one or simply demeaned growth rates.