NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Low-Frequency Econometrics

Ulrich K. Müller, Mark W. Watson

NBER Working Paper No. 21564
Issued in September 2015
NBER Program(s):   TWP

Many questions in economics involve long-run or trend variation and covariation in time series. Yet, time series of typical lengths contain only limited information about this long-run variation. This paper suggests that long-run sample information can be isolated using a small number of low-frequency trigonometric weighted averages, which in turn can be used to conduct inference about long-run variability and covariability. Because the low-frequency weighted averages have large sample normal distributions, large sample valid inference can often be conducted using familiar small sample normal inference procedures. Moreover, the general approach is applicable for a wide range of persistent stochastic processes that go beyond the familiar I(0) and I(1) models.

You may purchase this paper on-line in .pdf format from SSRN.com ($5) for electronic delivery.

Access to NBER Papers

You are eligible for a free download if you are a subscriber, a corporate associate of the NBER, a journalist, an employee of the U.S. federal government with a ".GOV" domain name, or a resident of nearly any developing country or transition economy.

If you usually get free papers at work/university but do not at home, you can either connect to your work VPN or proxy (if any) or elect to have a link to the paper emailed to your work email address below. The email address must be connected to a subscribing college, university, or other subscribing institution. Gmail and other free email addresses will not have access.

E-mail:

Supplementary materials for this paper:

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w21564

Users who downloaded this paper also downloaded* these:
Kalemli-Ozcan, Sorensen, Villegas-Sanchez, Volosovych, and Yesiltas w21558 How to Construct Nationally Representative Firm Level data from the ORBIS Global Database
Hoffmann and Lemieux w20694 Unemployment in the Great Recession: A Comparison of Germany, Canada and the United States
D'Erasmo, Mendoza, and Zhang w21574 What is a Sustainable Public Debt?
Padró I Miquel, Qian, Xu, and Yao w21058 Making Democracy Work: Culture, Social Capital and Elections in China
Bems and Johnson w21070 Demand for Value Added and Value-Added Exchange Rates
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us