Testing Models of Low-Frequency Variability

Ulrich K. Müller and Mark Watson

Econometrica, 2008, vol. 76, issue 5, 979-1016

Abstract: 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. Copyright 2008 The Econometric Society.

Date: 2008
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Working Paper: Testing Models of Low-Frequency Variability (2006)
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