Econometrica Vol. 76 No. 5 2008
Testing Models of Low-Frequency Variability
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.
- DOI
- 10.3982/ecta6814
- Volume
- 76
- Issue
- 5
- Pages
- 979-1016
- Language
- en
- Sources
- bibtex:phds-export.bib crossref openalex