On Adjusting the Hp-Filter for the Frequency of Observations

21 Pages Posted: 11 Jul 2001

See all articles by Morten O. Ravn

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

Multiple version iconThere are 3 versions of this paper

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

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

Morten O. Ravn

European University Institute - Economics Department (ECO) ( email )

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London Business School - Department of Economics ( email )

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National Bureau of Economic Research (NBER)

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Harald Uhlig (Contact Author)

University of Chicago - Department of Economics ( email )

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