Testing Models of Low-Frequency Variability

Ulrich Mueller and Mark Watson

No 12671, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We develop a framework to assess how successfully standard times eries 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.

JEL-codes: C22 E32 (search for similar items in EconPapers)
Date: 2006-11
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
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Published as Müller, Ulrich K. and Mark W. Watson. "Testing Models of Low-Frequency Variability." Econometrica 76, 5 (2008): 979-1016.

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