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Testing Models of Low-Frequency Variability

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  • Ulrich Mueller
  • Mark W. Watson

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.

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Bibliographic Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 12671.

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Date of creation: Nov 2006
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Publication status: published as Müller, Ulrich K. and Mark W. Watson. "Testing Models of Low-Frequency Variability." Econometrica 76, 5 (2008): 979-1016.
Handle: RePEc:nbr:nberwo:12671

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Citations

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Cited by:
  1. Zhongjun Qu, 2011. "A Test Against Spurious Long Memory," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(3), pages 423-438, July.
  2. Alfred A. Haug, 2013. "On Real Interest Rate Persistence: The Role of Breaks," Working Papers 1303, University of Otago, Department of Economics, revised Jan 2013.
  3. Harald Uhlig & Alexei Onatski, 2009. "Unit Roots in White Noise," Working Papers 2009-004, Becker Friedman Institute for Research In Economics.
  4. Guillaume Chevillon & Sophocles Mavroeidis, 2013. "Learning generates Long Memory," Post-Print hal-00661012, HAL.
  5. Ulrich Mueller & Mark W. Watson, 2013. "Measuring Uncertainty about Long-Run Prediction," NBER Working Papers 18870, National Bureau of Economic Research, Inc.
  6. 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.
  7. repec:dgr:uvatin:2007099 is not listed on IDEAS
  8. Müller, Ulrich K. & Watson, Mark W., 2013. "Low-frequency robust cointegration testing," Journal of Econometrics, Elsevier, vol. 174(2), pages 66-81.
  9. Arturo Estrella, 2007. "Extracting business cycle fluctuations: what do time series filters really do?," Staff Reports 289, Federal Reserve Bank of New York.
  10. 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.
  11. Giraitis, L. & Kapetanios, G. & Yates, T., 2014. "Inference on stochastic time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 179(1), pages 46-65.

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