I am trying to estimate a DSGE model with time-varying uncertainty (solved using a third-order approximation) using SMM. The data moments I use come from standard U.S. business cycle data (FRED), where I extract the cyclical component of log GDP etc. using a one-sided hp-filter.
Is it possible to match the one-sided hp-filtered data moments to one-sided hp-filter model moments using the Method of Moments toolbox in Dynare? I could not find an answer to this in the manual or on the forum.
It’s not yet possible, but we are working on it.
I see. But if I understand it correctly, this is essentially what the SMM part of the replication code to Born and Pfeifer (2014) Risk matters […]: Comment does (although the original paper used two-sided hp-filtered data and model moments)?
Yes, that is correct. But that paper was written long before the toolbox. The current status is
Great! I will try and code it myself based on your replication code. Thank you for your help!
If you want to just HP-filter all your data to be matched, you need to change just about 5 lines in Dynare.