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Detrending or HP filter?

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Detrending or HP filter?

Postby zhaoningru » Sun Sep 13, 2015 3:42 am

I am confusing about the simulation in dynare with HP filter or without HP filter. Usually, I build DSGE with trend and detrend the model before type bunches of equations into dynare. I know If I put HP filter in stoch_simul(), I will get analytic moments after HP filter. However, Do I need HP filter in stoch_simul() after I have already detrended the theoretical model to get the proper simulated moments?
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Re: Detrending or HP filter?

Postby jpfeifer » Sun Sep 13, 2015 4:11 pm

See http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=6256
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
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Re: Detrending or HP filter?

Postby zhaoningru » Mon Sep 14, 2015 3:59 am

Thanks for your help!
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