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- Thu Jul 30, 2015 1:52 am
- Forum: Estimation
- Topic: Kalman filter HP equivalence
- Replies: 1
- Views: 2779
Kalman filter HP equivalence
Hi all, I am trying to replicate results of HP filter (with lambda=1600) with Kalman filter. Following Boone(2000) I have rewritten the system into state-space form as follows: (the objective is to estimate NAIRU given the unemployment rate (U)) @ename e1 @ename e3 @state NAIRU=NAIRU(-1)+g(-1) @stat...