On Adjusting the HP-Filter for the Frequency of Observations

Morten Ravn and Harald Uhlig ()

No 2858, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: This Paper studies how the HP-Filter should be adjusted, when changing the frequency of observations. It complements the results of Baxter and King (1999) with an analytical analysis, demonstrating that the filter parameter should be adjusted by multiplying it with the fourth power of the observation frequency ratios. This yields an HP parameter value of 6.25 for annual data given a value of 1600 for quarterly data. The relevance of the suggestion is illustrated empirically.

Keywords: Business cycles; Trends; Hp-filter; Temporal aggregation; Historical business cycle properties (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2001-06
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Citations: View citations in EconPapers (165)

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Related works:
Working Paper: On Adjusting the HP-Filter for the Frequency of Observations (2001)
Working Paper: On Adjusting the H-P Filter for the Frequency of Observations (1997)
Working Paper: On Adjusting the H-P Filter for the Frequency of Observations (1997)
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