Testing Models of Low-Frequency Variability

53 Pages Posted: 20 Nov 2006 Last revised: 14 Feb 2022

See all articles by Ulrich K. Müller

Ulrich K. Müller

Princeton University - Department of Economics

Mark W. Watson

Princeton University - Princeton School of Public and International Affairs; National Bureau of Economic Research (NBER)

Date Written: November 2006

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.

Suggested Citation

Müller, Ulrich K. and Watson, Mark W., Testing Models of Low-Frequency Variability (November 2006). NBER Working Paper No. w12671, Available at SSRN: https://ssrn.com/abstract=941978

Ulrich K. Müller

Princeton University - Department of Economics ( email )

Princeton, NJ 08544-1021
United States
609-258-3216 (Phone)
609-258-4026 (Fax)

HOME PAGE: http://www.princeton.edu/~umueller

Mark W. Watson (Contact Author)

Princeton University - Princeton School of Public and International Affairs ( email )

Princeton University
Princeton, NJ 08544-1021
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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