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Low-Frequency Analysis of Economic Time Series

Author

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  • Ulrich K. Müller

    (Princeton University)

  • Mark W. Watson

    (Princeton University)

Abstract

This chapter discusses econometric methods for studying low-frequency variation and covariation in economic time series. We use the term low-frequency for dynamics over time spans that are a non-negligible fraction of the sample period. For example, when studying 70 years of post-WWII quarterly data, decadal variation is low-frequency, and when studying a decade of daily return data, yearly variation is low-frequency. Much of this chapter is organized around a set of empirical exercises that feature questions about low-frequency variability and covariability, and there is no better way to introduce the topics to be covered than to look at the data featured in these exercises.

Suggested Citation

  • Ulrich K. Müller & Mark W. Watson, 2020. "Low-Frequency Analysis of Economic Time Series," Working Papers 2020-13, Princeton University. Economics Department..
    • Handle: RePEc:pri:econom:2020-13
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    File URL: http://www.princeton.edu/~umueller/HOE.pdf
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    References listed on IDEAS

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    Keywords

    Econometrics;

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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