PSA: If/when using these tools, know the difference between Kalman filter and Kalman smoother. And be especially careful when using to make forecasts, forward estimates, predictions, etc.
Beyond the scope of this comment and post, but mind two-sided filters (as the Kalman smoother/HP filter uses) as you could be incorporating future/unknown data into your model.
Beyond the scope of this comment and post, but mind two-sided filters (as the Kalman smoother/HP filter uses) as you could be incorporating future/unknown data into your model.