Dear all, could you have any idea of replicating zanetti & mumtaz JEDC (2015)? I don’t know how to calibrate those adjustment parameters, e1, e2, e3,eta1, etc analytically.
For the case of variable in level or exp, how to compute their hpfiltered second moments?
I attached an example here.
With higher order approximations you can use filtered simulated time series to compute the moments (there is no way to compute the HP filtered moments analytically with Dynare if the model is not linear/linearized).