Prefilter
Posted: Sat Mar 22, 2008 6:57 pmHi Michel,
I have two questions: First, Does the the prefilter=1 option in the estimation command, demeans the data using HP filter? If so, what is the penalty parameter? Second; if I use the prefilter=1 option in the estimation line and try and do a recursive estimation to carry out recursive forecast, I get an error message.
Can you tell me what is the problem and how do I fix it?
I have two questions: First, Does the the prefilter=1 option in the estimation command, demeans the data using HP filter? If so, what is the penalty parameter? Second; if I use the prefilter=1 option in the estimation line and try and do a recursive estimation to carry out recursive forecast, I get an error message.
Can you tell me what is the problem and how do I fix it?