Low-Frequency Analysis of Economic Time Series

Ulrich Müller and Mark Watson
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Ulrich Müller: Princeton University
Mark Watson: Princeton University

Working Papers from Princeton University. Economics Department.

Abstract: This chapter discusses econometric methods for studying low-frequency variation and covariation in economic time series. We use the term low-frequency for dynamics over time spans that are a non-negligible fraction of the sample period. For example, when studying 70 years of post-WWII quarterly data, decadal variation is low-frequency, and when studying a decade of daily return data, yearly variation is low-frequency. Much of this chapter is organized around a set of empirical exercises that feature questions about low-frequency variability and covariability, and there is no better way to introduce the topics to be covered than to look at the data featured in these exercises.

Keywords: Econometrics (search for similar items in EconPapers)
JEL-codes: C01 C10 (search for similar items in EconPapers)
Date: 2020-09
New Economics Papers: this item is included in nep-ban, nep-ecm and nep-ets
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http://www.princeton.edu/~umueller/HOE.pdf

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Persistent link: https://EconPapers.repec.org/RePEc:pri:econom:2020-13

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