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On adjusting the Hodrick-Prescott filter for the frequency of observations

On adjusting the Hodrick-Prescott filter for the frequency of observations
On adjusting the Hodrick-Prescott filter for the frequency of observations
This paper studies how the Hodrick-Prescott 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
371-380
Ravn, Morten O.
ed259e8b-96c8-48b4-8a82-35df1c541414
Uhlig, Harald
5806d097-f7b6-4faf-ab6b-dc2ed033db61
Ravn, Morten O.
ed259e8b-96c8-48b4-8a82-35df1c541414
Uhlig, Harald
5806d097-f7b6-4faf-ab6b-dc2ed033db61

Ravn, Morten O. and Uhlig, Harald (2002) On adjusting the Hodrick-Prescott filter for the frequency of observations. The Review of Economics and Statistics, 84 (1), 371-380. (doi:10.1162/003465302317411604).

Record type: Article

Abstract

This paper studies how the Hodrick-Prescott 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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Published date: May 2002

Identifiers

Local EPrints ID: 47656
URI: https://eprints.soton.ac.uk/id/eprint/47656
PURE UUID: 024caa86-a5ad-4b76-8394-235908956858

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Date deposited: 07 Aug 2007
Last modified: 24 Oct 2019 16:30

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