On Adjusting the HP-Filter for the Frequency of Observations

Morten Ravn and Harald Uhlig ()

No 2858, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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
References: Add references at CitEc
Citations: View citations in EconPapers (164)

Downloads: (external link)
https://cepr.org/publications/DP2858 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

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)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:2858

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP2858

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().