Low Frequency Econometrics

Mark Watson is Howard Harrison and Gabrielle Snyder Beck Professor of Economics and Public Affairs at Princeton University.

Modeling and forecasting slow changes in the economy even with parameter instability is a topic whose interest has recently been enhanced by the Great Recession and global financial markets crisis whose severity caught most forecasters by surprise. The nature of changes to the underlying data generating process can be modeled either in the form of occasional discrete breaks or as more gradual changes. In these lectures the topic of gradual change also known as low frequency time series analysis is the topic that is treated in detail.

Professor Mark Watson gave two days of lectures, followed by a 2-day workshop “Forecasting Structure and Time Varying Patterns in Economics and Finance” at which lectures were given by Frank Diebold, Adrian Pagan, Tim Bollerslev, Fabio Canova, John Geweke, Neil Shephard and Mark Watson.

Lecture titles

1. Some Problems and Models
2. Isolating Low-Frequency Variability
3. Application 1: HAC Inference.
   Application 2: Testing Models of Low-Frequency Variability
4. Nuisance Parameters
5. Application 3: Cointegration
6. Application 4: Long-run Prediction