Question about estimation

[jpfeifer]

It depends on what you are using the HP filter for. You are not supposed to use it for estimating data with a Kalman filter. See e.g.

Model diagnostics and steady-state and convergence testing

You are not supposed to use a two-sided HP-filter for estimation. It’s a non-causal filter violating the recursiveness of the model solution. You are trying to match mean zero observables in the data to non-demeaned variables in the model. That cannot work.