Low-Frequency Econometrics

By Ulrich K. Müller, Mark W. Watson. 2015

55 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/bdfd3867fabb18b3a820b7bf73f484978ed5e5ea

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. R. Trezzi
2. Christopher L. Smith
3. A. Wozniak
4. Raven S. Molloy
5. Alan Manning
6. Joan Monras

In Finance

1. R. Trezzi
2. Christopher L. Smith
3. A. Wozniak
4. Raven S. Molloy

Citations in the corpus

• Demographic Structure and Macroeconomic Trends (2019, unknown): “Mueller and Watson (2015) discuss low-frequency econometrics.”
• Covid-19 and the Macroeconomic Effects of Costly Disasters (2020, unknown): “The long-run trends of all three variables are removed using the methodology in Müller and Watson (2017) before the VAR estimation.6 We estimate the VAR using monthly data from 1980:01 to 2020:02, and thus exclude the extremely high value of CD during the COVID-19.”
• Understanding Declining Fluidity in the U.S. Labor Market (2016, methodology): “We also tried a wider window, and we obtained almost identical results compared with the baseline.13 Second, results are similar when we use two alternative filters to estimate the low frequency movements: (i) the low-pass version of the band pass filter developed by Lawrence Christiano and Terry Fi”