Using HP filter to filter Dynare's output

This forum is closed. You can read the posts but cannot write. We have migrated the forum to a new location where you will have to reset your password.
Forum rules
This forum is closed. You can read the posts but cannot write. We have migrated the forum to a new location (https://forum.dynare.org) where you will have to reset your password.

Using HP filter to filter Dynare's output

Postby dynare_usr » Thu May 12, 2016 9:30 pm

Hello,

I would like to apply a one-sided HP filter to the data, generated by Dynare (stoch_simul, order=2 or 3).
To obtain Dynare's data, is it sufficient to add steady state values (oo_.steadystate) to the deviations from steady state (oo_.irfs.*)?

Would appreciate your comments.
dynare_usr
 
Posts: 21
Joined: Tue Dec 29, 2015 8:21 pm

Re: Using HP filter to filter Dynare's output

Postby jpfeifer » Tue May 17, 2016 3:07 pm

You are not supposed to filter IRFs. You should set periods=x and then filter oo_.endo_simul or the variables saved in the workspace.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
Posts: 6940
Joined: Sun Feb 21, 2010 4:02 pm
Location: Cologne, Germany


Return to Dynare help

Who is online

Users browsing this forum: No registered users and 14 guests