Econometrica: Sep, 2008, Volume 76, Issue 5
Testing Models of Low‐Frequency Variability
https://doi.org/10.3982/ECTA6814
p. 979-1016
Ulrich K. Müller, Mark W. Watson
We develop a framework to assess how successfully standard time series models explain low‐frequency variability of a data series. The low‐frequency information is extracted by computing a finite number of weighted averages of the original data, where the weights are low‐frequency trigonometric series. The properties of these weighted averages are then compared to the asymptotic implications of a number of common time series models. We apply the framework to twenty U.S. macroeconomic and financial time series using frequencies lower than the business cycle.
Supplemental Material
Supplement to "Testing Models of Low-Frequency Variability"
This zip file contains a replication file that contains data and programs.
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Supplement to "Testing Models of Low-Frequency Variability"
This zip file contains a replication file that contains data and programs.
View zip