On low-frequency estimates of long-run relationships in macroeconomics
AbstractA number of recent studies have attempted to test propositions concerning "long runt" economic relationships by means of frequency-domain time series techniques that concentrate attention on low frequency co-movements of variables.The present paper emphasizes that many of these propositions involve expectational relationships that are not inherently related to specific frequencies or periodicities. Thus the association of low-frequency time series test statistics with long-run economic propositions is not generally warranted. That such an association can be misleading is demonstrated by analysis of examples taken from notable papers by Geweke, Lucas, and Summers.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Monetary Economics.
Volume (Year): 14 (1984)
Issue (Month): 1 (July)
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Web page: http://www.elsevier.com/locate/inca/505566
Other versions of this item:
- Bennett T. McCallum, 1984. "On Low-Frequency Estimates of "Long-Run" Relationships in Macro- economics," NBER Working Papers 1162, National Bureau of Economic Research, Inc.
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- Lawrence H. Summers, 1984. "The Nonadjustment of Nominal Interest Rates: A Study of the Fisher Effect," NBER Working Papers 0836, National Bureau of Economic Research, Inc.
- Bennett T. McCallum, 1984.
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96, Massachusetts Institute of Technology (MIT), Department of Economics.
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