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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)}. following the approach outlined in @cite{Uhlig (2001)}.
Default: no filter. 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} @item hp_ngrid = @var{INTEGER}
Number of points in the grid for the discrete Inverse Fast Fourier Number of points in the grid for the discrete Inverse Fast Fourier
Transform used in the HP filter computation. It may be necessary to 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 Stochastic General Equilibrium Model of the Euro Area,'' @i{Journal of
the European Economic Association}, 1(5), 1123--1175 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 @item
Uhlig, Harald (2001): ``A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily,'' Uhlig, Harald (2001): ``A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily,''
in @i{Computational Methods for the Study of Dynamic in @i{Computational Methods for the Study of Dynamic