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On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations
The Review of Economics and Statistics · 2002 · Vol. 84(2) · pp. 371–376
Morten O. Ravn✉(Centre for Economic Policy Research)Harald Uhlig(Centre for Economic Policy Research)
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.
Monetary Policy and Economic ImpactFinancial Risk and Volatility ModelingGeophysics and Gravity MeasurementsHodrick–Prescott filterFilter (signal processing)EconometricsValue (mathematics)MathematicsStatisticsEconomicsComputer scienceBusiness cycleKeynesian economics
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Time to Build and Aggregate Fluctuations
Econometrica · 1982 · 5,850 citations
American Economic Review
American Economic Review · 2009 · 4,745 citations
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