Adjusting the HP-filter for the frequency of observations
Subject
Economics
Publishing details
Publication Year
2001
Abstract
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.
Series Number
DP 2001/1
Series
Economics Discussion Paper Series
Available on ECCH
No
