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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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File URL: http://hdl.handle.net/10.3982/ECTA6814
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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. 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.
  2. Guillaume Chevillon & Sophocles Mavroeidis, 2013. "Learning generates Long Memory," Post-Print hal-00661012, HAL.
  3. Zhongjun Qu, 2011. "A Test Against Spurious Long Memory," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(3), pages 423-438, July.
  4. Giraitis, L. & Kapetanios, G. & Yates, T., 2014. "Inference on stochastic time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 179(1), pages 46-65.
  5. Ulrich Mueller & Mark W. Watson, 2013. "Measuring Uncertainty about Long-Run Prediction," NBER Working Papers 18870, National Bureau of Economic Research, Inc.
  6. Arturo Estrella, 2007. "Extracting business cycle fluctuations: what do time series filters really do?," Staff Reports 289, Federal Reserve Bank of New York.
  7. Alfred Haug, 2012. "On real interest rate persistence: the role of breaks," Working Papers 65, Department of Applied Econometrics, Warsaw School of Economics.
  8. repec:dgr:uvatin:2007099 is not listed on IDEAS
  9. Onatski, Alexei & Uhlig, Harald, 2012. "Unit Roots In White Noise," Econometric Theory, Cambridge University Press, vol. 28(03), pages 485-508, June.
  10. Müller, Ulrich K. & Watson, Mark W., 2013. "Low-frequency robust cointegration testing," Journal of Econometrics, Elsevier, vol. 174(2), pages 66-81.
  11. Federico M. Bandi & Bernard Perron & Andrea Tamoni & Claudio Tebaldi, 2014. "The scale of predictability," Working Papers 509, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

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