On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations
研究如何根据观测频率调整霍德里克-普雷斯科特滤波器参数，提出将参数乘以观测频率比的四次方，例如季度数据参数1600对应年度数据参数6.25，并通过实证验证其相关性。
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