hprescott & semiannual data

[Morimoto Susumu]

I would like to smooth semiannual time-series using hprescott. Could you let me know how to smooth semi-annual time series??
I haven't seen a paper which mentions smoothing parameter about semi-annual data.

[Christos Makridis]

25 is a reasonable value -- check page 16 on this working paper, for example: http://www3.nd.edu/~rbachman/bachman...ng_current.pdf

Filtering is more an art than a science -- ideally, results shouldn't be sensitive to the filter. An alternative way to capture the smoothed component would be to put fixed effects on time and use the predicted values.