Ulrich Müller (Princeton University)
Ultra Low-Frequency Econometrics
(with Mark Watson)
A number of issues in time series econometrics concern low-frequency phenomena, such as the presence of mean reversion, long-run forecasting, and cointegration. In absence of strong cross spectral restrictions, the data contains only limited amount of information about low-frequency properties. Ultra low-frequency econometrics is an inferential framework that explicitly accounts for this scarcity of information. We survey some of our previous work, and provide new results on the low-frequency covariability of two time series.