Hi,
I am wondering when we should add hp_filter option in stoch_simul.
All the examples given by J. Fernandez-Villaverde used the option hp_filter=1600. If I delete this option, the results of moments change a lot. It seems that all the variables are stationary in those rbc models, then why they should be hp-filtered before calculating the moments?
Thanks.
Emma
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hp_filter option in stoch_simul
by emma » Thu Jan 10, 2008 10:09 pm
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by MichelJuillard » Wed Jan 16, 2008 7:53 am
As you observed, the HP filtering has important effect for the theoretical moments of a model. That means that the model generates some low frequency components that are removed by HP_filtering.
If you do calibration and compare the theoretical moments of your model with HP filtered data, it seems more consistent to compare the HP_filtered theoretical moments and the HP_filtered data
best
Michel
If you do calibration and compare the theoretical moments of your model with HP filtered data, it seems more consistent to compare the HP_filtered theoretical moments and the HP_filtered data
best
Michel
- MichelJuillard
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- Joined: Thu Nov 18, 2004 10:51 am
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