全球智库信息集成服务系统(G2TT): Testing Models of Low-Frequency Variability

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w12671
来源ID	Working Paper 12671
	Testing Models of Low-Frequency Variability
	Ulrich Mueller; Mark W. Watson
发表日期	2006-11-06
出版年	2006
语种	英语
摘要	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.
主题	Econometrics ; Estimation Methods ; Macroeconomics ; Business Cycles
URL	https://www.nber.org/papers/w12671
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/570333
推荐引用方式 GB/T 7714	Ulrich Mueller,Mark W. Watson. Testing Models of Low-Frequency Variability. 2006.