### Abstract

Original language | English |
---|---|

Place of Publication | Tilburg |

Publisher | Macroeconomics |

Number of pages | 26 |

Volume | 1997-50 |

Publication status | Published - 1997 |

### Publication series

Name | CentER Discussion Paper |
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Volume | 1997-50 |

### Fingerprint

### Keywords

- HP-Filter
- frequency of observation
- real business cycles
- output volatility
- pre-war business cycles

### Cite this

*On Adjusting the H-P Filter for the Frequency of Observations*. (CentER Discussion Paper; Vol. 1997-50). Tilburg: Macroeconomics.

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**On Adjusting the H-P Filter for the Frequency of Observations.** / Uhlig, H.F.H.V.S.; Ravn, M.

Research output: Working paper › Discussion paper › Other research output

TY - UNPB

T1 - On Adjusting the H-P Filter for the Frequency of Observations

AU - Uhlig, H.F.H.V.S.

AU - Ravn, M.

N1 - Pagination: 26

PY - 1997

Y1 - 1997

N2 - 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.

AB - 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.

KW - HP-Filter

KW - frequency of observation

KW - real business cycles

KW - output volatility

KW - pre-war business cycles

M3 - Discussion paper

VL - 1997-50

T3 - CentER Discussion Paper

BT - On Adjusting the H-P Filter for the Frequency of Observations

PB - Macroeconomics

CY - Tilburg

ER -