On Adjusting the Hp-Filter for the Frequency of Observations

London Business School Economics Discussion Paper No. DP 2001/1

20 Pages Posted: 13 Mar 2003

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)

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Date Written: April 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 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.

JEL Classification: C32, E32

Suggested Citation

Ravn, Morten O., On Adjusting the Hp-Filter for the Frequency of Observations (April 2001). London Business School Economics Discussion Paper No. DP 2001/1, Available at SSRN: https://ssrn.com/abstract=289197 or http://dx.doi.org/10.2139/ssrn.289197

Morten O. Ravn (Contact Author)

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