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Discussion Paper Details

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Title: On Adjusting the HP-Filter for the Frequency of Observations

Author(s): Morten O Ravn and Harald Uhlig

Publication Date: June 2001

Keyword(s): Business cycles, historical business cycle properties, HP-filter, temporal aggregation and trends

Programme Area(s): International Macroeconomics

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.

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Bibliographic Reference

Ravn, M and Uhlig, H. 2001. 'On Adjusting the HP-Filter for the Frequency of Observations'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=2858