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Add documentation of one_sided_hp_filter missing from f7175745ac

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Johannes Pfeifer 2017-05-02 12:27:27 +02:00
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@ -4012,6 +4012,12 @@ moments. If theoretical moments are requested, the spectrum of the model solutio
following the approach outlined in @cite{Uhlig (2001)}.
Default: no filter.
@item one_sided_hp_filter = @var{DOUBLE}
Uses the one-sided HP filter with @math{\lambda} = @var{DOUBLE} described in @cite{Stock and Watson (1999)}
before computing moments. This option is only available with simulated moments.
Default: no filter.
@item hp_ngrid = @var{INTEGER}
Number of points in the grid for the discrete Inverse Fast Fourier
Transform used in the HP filter computation. It may be necessary to
@ -14733,6 +14739,10 @@ Smets, Frank and Rafael Wouters (2003): ``An Estimated Dynamic
Stochastic General Equilibrium Model of the Euro Area,'' @i{Journal of
the European Economic Association}, 1(5), 1123--1175
@item
Stock, James H. and Mark W. Watson (1999). ``Forecasting Inflation,'', @i{Journal of Monetary
Economics}, 44(2), 293--335.
@item
Uhlig, Harald (2001): ``A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily,''
in @i{Computational Methods for the Study of Dynamic