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

By Morten O. Ravn, Harald Uhlig. Review of Economics and Statistics, 2002

2,030 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Oceanography

View Paper: https://www.semanticscholar.org/paper/4e6020cc0f2b7494861663de4008ab8380bba046

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

In Oceanography

Citations in the corpus

Regional business cycle synchronization in Europe? (2007, methodology): “We set the smoothing parameter at 6.25 as proposed by Ravn and Uhlig (2002).”
Government Size, Composition, Volatility and Economic Growth (2008, neutral): “Moreover, as suggested also by Ravn and Uhlig (2002), the choice of the HP6.”
Fiscal Policy Multipliers on Subnational Government Spending (2012, positive): “25 when working with annual observations and of 1600 when working with quarterly observations, as recommended by Ravn and Uhlig (2002).”
The Econometrics of the Hodrick-Prescott Filter (2016, methodology): “Using the approximation of section V, section VI shows the equivalence of the trends of HP-filtered quarterly data and HP-filtered annual data if the smoothing parameter is adjusted in the same way as suggested in Ravn and Uhlig (2002).”
Do Surges in International Capital Inflows Influence the Likelihood of Banking Crises?: Cross-Country Evidence on Bonanzas in Capital Inflows and Bonanza-Boom-Bust Cycles (2012, positive): “10Following Ravn and Uhlig (2002), the long-run trend is calculated using the Hodrick-Prescott filter with the smoothing parameter set to 6.25.”
A Frequency Selective Filter for Short-Length Time Series (2005, background): “This has been studied in, among others, Ravn and Uhlig (2002), which finds λs = s 4 λq, (14) where λq is the value of the parameter for quarterly data (the usual 1600), s is the alternative sampling frequency (equal to 1/4 for annual data and 3 for monthly data), and λs the corresponding parameter…”
The contributions of human capital, R&D spending and convergence to total factor productivity growth (2018, methodology): “…period in the year 2000, Ki,2000, is evaluated as: Ki,2000 = Ii,2001/(gi + d), where gi denotes the region’s average trend growth rate in the Hodrick–Prescott-filtered investment series from the period 2001–07 using the smoothing parameter of l = 6.25, in line with Ravn and Uhlig (2002).”
Demographic Origins of the Startup Deficit (2019, positive): “25, consistent with Ravn and Uhlig (2002) for annual data, to estimate the trend component.”
R&D expenditure in G7 countries and the implications for endogenous fluctuations and growth (2004, methodology): “The smoothing parameter for the HP filter was λ = 100 and λ = 6.25 (suggested recently by Ravn and Uhlig, 2002), the modified Baxter-King (1999) filter has a cut-off frequency of 15 years, the filter length is 3.”