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On Adjusting the HP-Filter for the Frequency of Observations

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Author Info
Ravn, Morten O.
Uhlig, Harald

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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.

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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 2858.

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Date of creation: Jun 2001
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Handle: RePEc:cpr:ceprdp:2858

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Related research
Keywords: Business cycles; historical business cycle properties; HP-filter; temporal aggregation; trends;

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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