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Testing Models of Low-Frequency Variability

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  • Ulrich K. Müller
  • Mark W. Watson

Abstract

We develop a framework to assess how successfully standard time series 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. Copyright 2008 The Econometric Society.

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Bibliographic Info

Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 76 (2008)
Issue (Month): 5 (09)
Pages: 979-1016

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Handle: RePEc:ecm:emetrp:v:76:y:2008:i:5:p:979-1016

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Citations

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Cited by:
  1. Alfred Haug, 2012. "On real interest rate persistence: the role of breaks," Working Papers 65, Department of Applied Econometrics, Warsaw School of Economics.
  2. Zhongjun Qu, 2010. "A Test Against Spurious Long Memory," Boston University - Department of Economics - Working Papers Series WP2010-051, Boston University - Department of Economics.
  3. Onatski, Alexei & Uhlig, Harald, 2012. "Unit Roots In White Noise," Econometric Theory, Cambridge University Press, vol. 28(03), pages 485-508, June.
  4. Chevillon, Guillaume & Mavroeidis, Sophocles, 2011. "Learning generates Long Memory," ESSEC Working Papers WP1113, ESSEC Research Center, ESSEC Business School.
  5. Arturo Estrella, 2007. "Extracting business cycle fluctuations: what do time series filters really do?," Staff Reports 289, Federal Reserve Bank of New York.
  6. Ulrich Müller & Mark W. Watson, 2009. "Low-Frequency Robust Cointegration Testing," NBER Working Papers 15292, National Bureau of Economic Research, Inc.
  7. C.S. Bos & S.J. Koopman & M. Ooms, 2007. "Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks," Tinbergen Institute Discussion Papers 07-099/4, Tinbergen Institute.
  8. Charles S. Bos & Siem Jan Koopman & Marius Ooms, 2007. "Long memory modelling of inflation with stochastic variance and structural breaks," CREATES Research Papers 2007-44, School of Economics and Management, University of Aarhus.

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