Econometrica, 2008-09, Vol.76 (5), p.979-1016
2008
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Details
- Autor(en) / Beteiligte
- Titel
- Testing Models of Low-Frequency Variability
- Ist Teil von
- Econometrica, 2008-09, Vol.76 (5), p.979-1016
- Ort / Verlag
- Oxford, UK: Blackwell Publishing Ltd
- Erscheinungsjahr
- 2008
- Quelle
- Wiley Online Library Journals Frontfile Complete
- Beschreibungen/Notizen
- 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.
- Sprache
- Englisch
- Identifikatoren
- ISSN: 0012-9682eISSN: 1468-0262DOI: 10.3982/ECTA6814Titel-ID: cdi_proquest_miscellaneous_36992723
- Format
- –
- Schlagworte
- Applications, business cycle frequency, Business cycles, Covariance matrices, Data analysis, Econometric models, Econometrics, Economic fluctuations, Economic models, Eigenfunctions, Exact sciences and technology, Fourier analysis, Frequency, heteroskedasticity, Inference from stochastic processes, time series analysis, Insurance, economics, finance, local-to-unity, Long memory, Macroeconomic modeling, Macroeconomics, Mathematical analysis, Mathematics, Parametric models, Probability and statistics, Sciences and techniques of general use, stationarity test, Statistics, Studies, Time series, Time series models, Unit root, unit root test, Weighted averages