finding output gap by using Kalman filter.

[Brc]

Hello,

I have GDP which is quarterly data from 1998:q1 to 2025:q1.

I am trying to find output gap by using Kalman filter. How can I write down its codes? or how can I find its codes?

Please help me to do this. Thank you.

[TomDoan]

What people usually do is to take the difference between (log) GDP and its HP filter. The HP filter is the Kalman smoothed output from a particular state-space model. See HPFILTER.RPF.