Hodrick Prescott Filter

[Viktoria]

I need to get quarterly data on inflation targets set by central banks, but those are normally set on annual basis. Is it possible to estimate those banchmark rates (inflation targets) using Hodrick Prescott Filter based on the inflation's quarterly data ? Or I need to use linear interpolation in order to get the quarterly data out of the annual?

[trubador]

Yes, central banks announce year-end targets, but they also present the forecast of inflation path. You'd better use those estimates, if possible.
Built-in HP filter in EViews would require a full continuous sample to do what you want, unless you explicitly build a state space model of it.
You may also find useful the new low-to-high frequency conversion methods in EViews 9.

[Viktoria]

Thank you very much for your help trubador! Actually I'm not doing any forecast, I'm simply constructing a model based on ex-post estimates. I have collected all the quarterly data for the inflation rate for my sample period (can't I still use HP filter?). Anyway, I've better use low-to-high frequency conversion methods as you advised.