On Adjusting the Hp-Filter for the Frequency of Observations
21 Pages Posted: 11 Jul 2001
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On Adjusting the Hp-Filter for the Frequency of Observations
Number of pages: 21
Posted: 11 Jul 2001
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On Adjusting the Hp-Filter for the Frequency of Observations
London Business School Economics Discussion Paper No. DP 2001/1
Number of pages: 20
Posted: 13 Mar 2003
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On Adjusting the Hp-Filter for the Frequency of Observations
Number of pages: 24
Posted: 21 Jul 2001
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Date Written: May 2001
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 observations 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.
JEL Classification: C32, E32
Suggested Citation: Suggested Citation
Ravn, Morten O. and Uhlig, Harald, On Adjusting the Hp-Filter for the Frequency of Observations (May 2001). Available at SSRN: https://ssrn.com/abstract=273355 or http://dx.doi.org/10.2139/ssrn.273355
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