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
Date Written: April 2001
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: Suggested Citation