DP2858 On Adjusting the HP-Filter for the Frequency of Observations
|Author(s):||Morten O Ravn, Harald Uhlig|
|Publication Date:||June 2001|
|Keyword(s):||Business cycles, historical business cycle properties, HP-filter, temporal aggregation, trends|
|Programme Areas:||International Macroeconomics|
|Link to this Page:||cepr.org/active/publications/discussion_papers/dp.php?dpno=2858|
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.