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On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations

Morten O. Ravn1,2; Harald Uhlig1

1 Centre for Economic Policy Research · 2 London Business School

The Review of Economics and Statistics 2002 open access

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.

DOI
10.1162/003465302317411604
Volume
84 (2)
Pages
371-376
Language
en
Export
BibTeX
Sources
crossref openalex