@techreport{NBERw12671,
 title = "Testing Models of Low-Frequency Variability",
 author = "Ulrich Mueller and Mark W. Watson",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "12671",
 year = "2006",
 month = "November",
 URL = "http://www.nber.org/papers/w12671",
 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.},
}