Testing Models of Low-Frequency Variability
---- Acknowledgements ----
The first draft of this paper was written for the Federal Reserve Bank of Atlanta conference in honor of the twenty-fifth anniversary of the publication of Beveridge and Nelson (1981), and we thank the conference participants for their comments. We also thank Tim Bollerslev, David Dickey, John Geweke and Barbara Rossi for useful comments and discussions, and Rafael Dix Carneiro for excellent research assistance. Support was provided by the National Science Foundation through grants SES-0518036 and SES-0617811. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.