On Adjusting the Hp-Filter for the Frequency of Observations

By Morten O. Ravn, Harald Uhlig. Social Science Research Network, 2001

584 citations recorded by the source corpus.

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 observations 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.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f1f4cf1d22689950e96651d7bf1957f485314232

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

1. Jan-Benedict E M Steenkamp
2. Marnik G. Dekimpe
3. Barbara Deleersnyder
4. Lien Lamey
5. M. O’Mahony
6. L. Montoya
7. B. Ark
8. A. Bigsten

In Finance

1. L. Montoya
2. A. Bigsten
3. Angang Hu
4. Jan-Benedict E M Steenkamp
5. M. O’Mahony
6. Jakob de Haan
7. Lien Lamey
8. Jinghai Zheng

Citations in the corpus

• Can China´s Growth be Sustained? A Productivity Perspective (2008, methodology): “For annual data, Ravn and Uhlig (2002) recommend using k = 6.25 for annual data and k = 129,600 for monthly data.”
• How Business Cycles Contribute to Private-Label Success: Evidence from the United States and Europe (2007, background): “Canova (1994) considers a value of λ equal to 4, Ravn and Uhlig (2001) suggest a value of 6.25, and Harvey and Jaeger (1993) work with a value of 7.”