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

Ravn, M.O.; Uhlig, H.; (2002) On adjusting the Hodrick-Prescott Filter for the frequency of observations. The Review of Economics and Statistics , 84 (2) pp. 371-376. 10.1162/003465302317411604. Green open access

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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.

Type: Article
Title: On adjusting the Hodrick-Prescott Filter for the frequency of observations
Open access status: An open access version is available from UCL Discovery
DOI: 10.1162/003465302317411604
Publisher version: http://dx.doi.org/10.1162/003465302317411604
Language: English
Additional information: © 2002 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology
UCL classification: UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics
URI: https://discovery.ucl.ac.uk/id/eprint/18641
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