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

• 成果类型: Article
• 署名作者: Ravn, MO; Uhlig, H
• 署名单位: University of London; London Business School; Humboldt University of Berlin
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/003465302317411604
• 发表日期: 2002-05
• 页码: 371-376
• 关键词: business cycles; stylized facts; time

摘要

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.