Band Pass Filter

[phuongvn]

Is there any way to use Band Pass Filter instead of HP Filter when run stoch_simul()? I would like to include medium-term cycles in computing the theoretical moments and unconditional variance decomposition. Thanks in advance.

[jpfeifer]

Not by default. For the moments, it is easiest do simulate the series for a large number of periods and then apply the desired filter and compute the moments yourself.

[phuongvn]

Hi guys, thanks a lot for the responses,

I would greatly appreciate if you could tell me (or refer me to any reading) how to compute conditional/unconditional variance decomposition using filtered simulated data.

Thanks a lot in advance.

[jpfeifer]

I am not aware of such a source. An indication how it might work is provided in the technical appendix to Aguiar/Gopinath (2007). My hunch is that if you use a linear filter it preserves the linearity of the solution (if you go to first order only). In that case, you should be able to simulate the model with one shock at a time and then compute the fraction of the total variance.

[phuongvn]

I think it should work. Thanks a lot.