Loading...
On Adjusting the H-P Filter for the Frequency of Observations
Uhlig,H.F.H.V.S. Ravn,M.
Uhlig,H.F.H.V.S.
Ravn,M.
Abstract
This paper studies how the HP-Filter should be adjusted, when changing the frequency of observations. The usual choices in the literature are to adjust the smoothing parameter by multiplying it with either the square of the observation frequency ratios or simply with the observation frequency. In contrast, the paper recommends to adjust the filter parameter by multiplying it with the fourth power of the observation frequency ratios. Based on this suggestion, some well-known comparisons of business cycles moments across countries and time periods are recomputed. In particular, we overturn a finding by Backus and Kehoe (1992) on the historical changes in output volatility and return instead to older conventional wisdom (Baily, 1978, Lucas, 1977): based on the new HP-Filter adjustment rule, output volatility turns out to have decreased after the Second World War.
Description
Pagination: 26
Date
1997
Journal Title
Journal ISSN
Volume Title
Publisher
Macroeconomics
Files
Loading...
50.pdf
Adobe PDF, 366.73 KB
Research Projects
Organizational Units
Journal Issue
Keywords
HP-Filter, frequency of observation, real business cycles, output volatility, pre-war business cycles, C10 - General, C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes, C63 - Computational Techniques ; Simulation Modeling, E32 - Business Fluctuations ; Cycles, F14 - Empirical Studies of Trade
Citation
Uhlig, H F H V S & Ravn, M 1997 'On Adjusting the H-P Filter for the Frequency of Observations' CentER Discussion Paper, vol. 1997-50, Macroeconomics, Tilburg.