Kalman Filter & HP Filter

[jhkemp]

I am busy investigating potential output estimation through a production function approach.

Does it make sense to use the Kalman filter to obtain an estimate of total factor productivity (as an unobserved variable) and to then use the HP filter on the resulting series to obtain "trend TFP" or "potential TFP"? Or is the result obtained from the Kalman filter already the smoothed/trend value?