TY - JOUR
AU - Mueller,Ulrich
AU - Watson,Mark W.
TI - Testing Models of Low-Frequency Variability
JF - National Bureau of Economic Research Working Paper Series
VL - No. 12671
PY - 2006
Y2 - November 2006
DO - 10.3386/w12671
UR - http://www.nber.org/papers/w12671
L1 - http://www.nber.org/papers/w12671.pdf
N1 - Author contact info:
Ulrich Mueller
Department of Economics
Princeton University
Princeton, NJ 08544-1013
E-Mail: umueller@princeton.edu
Mark W. Watson
Department of Economics
Princeton University
Princeton, NJ 08544-1013
Tel: 609/258-4811
Fax: 609/258-5533
E-Mail: mwatson@princeton.edu
AB - 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.
ER -