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On Adjusting the HP-Filter for the Frequency of Observations


Morten O. Ravn


European University Institute - Economics Department (ECO); London Business School - Department of Economics; University of Southampton; Centre for Economic Policy Research (CEPR); National Bureau of Economic Research (NBER)

Harald Uhlig


University of Chicago - Department of Economics
June 2001

CEPR Discussion Paper No. 2858

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.

Number of Pages in PDF File: 24

Keywords: Business cycles, trends, HP-filter, temporal aggregation, historical business cycle properties

JEL Classification: C32, E32

working papers series


Date posted: July 21, 2001  

Suggested Citation

Ravn, Morten O. and Uhlig, Harald, On Adjusting the HP-Filter for the Frequency of Observations (June 2001). CEPR Discussion Paper No. 2858. Available at SSRN: http://ssrn.com/abstract=276784

Contact Information

Morten O. Ravn (Contact Author)
European University Institute - Economics Department (ECO) ( email )
Villa San Paolo
Via della Piazzuola 43
50133 Florence
Italy
London Business School - Department of Economics ( email )
Sussex Place
Regent's Park
London NW1 4SA
United Kingdom
+44 20 7262 5050 ext. 3717 (Phone)
+44 20 7402 0718 (Fax)
University of Southampton ( email )
University Rd.
Southampton SO17 1BJ
United Kingdom
+44 1703 593996 (Phone)
+44 1703 593858 (Fax)
Centre for Economic Policy Research (CEPR)
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Harald Uhlig
University of Chicago - Department of Economics ( email )
1101 East 58th Street
Chicago, IL 60637
United States
Feedback to SSRN (Beta)


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