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

2002/05/01 by Morten O. Ravn, Harald Uhlig · 2,004 citations
Earth and Planetary Sciences · Economics, Econometrics and Finance · Mathematics · #Business cycle #Computer science #Econometrics #Economics #Filter (signal processing) #Financial Risk and Volatility Modeling #Geophysics and Gravity Measurements #Hodrick–Prescott filter #Keynesian economics #Mathematics #Monetary Policy and Economic Impact #Statistics #Value (mathematics)

paper · open access · doi:10.1162/003465302317411604

published in The Review of Economics and Statistics 84(2), 371-376 (The MIT Press)

openalex publication_date 2002/05/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/02

Abstract

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.

Citations

• Postwar U.S. Business Cycles: An Empirical Investigation
• Time to Build and Aggregate Fluctuations

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