Low-Frequency Econometrics
Author | : Ulrich K. Müller |
Publisher | : |
Total Pages | : 45 |
Release | : 2015 |
ISBN-10 | : OCLC:921869413 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Low-Frequency Econometrics written by Ulrich K. Müller and published by . This book was released on 2015 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many questions in economics involve long-run or trend variation and covariation in time series. Yet, time series of typical lengths contain only limited information about this long-run variation. This paper suggests that long-run sample information can be isolated using a small number of low-frequency trigonometric weighted averages, which in turn can be used to conduct inference about long-run variability and covariability. Because the low-frequency weighted averages have large sample normal distributions, large sample valid inference can often be conducted using familiar small sample normal inference procedures. Moreover, the general approach is applicable for a wide range of persistent stochastic processes that go beyond the familiar I(0) and I(1) models.