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On Low-Frequency Estimates of "Long-Run" Relationships in Macro- economics

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  • Bennett T. McCallum

Abstract

A 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 Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 1162.

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Date of creation: Jun 1983
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Publication status: published as McCallum, Bennett T. "On Low-Frequency Estimates of "Long-Run" Relationships in Macroeconomics." Journal of Monetary Economics, Vol. 14, No. 1, (July 1984), pp. 3-14.
Handle: RePEc:nbr:nberwo:1162

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  1. Sargent, Thomas J, 1971. "A Note on the 'Accelerationist' Controversy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 3(3), pages 721-25, August.
  2. Bennet T. McCallum, 1984. "A Linearized Version of Lucas's Neutrality Model," Canadian Journal of Economics, Canadian Economics Association, vol. 17(1), pages 138-45, February.
  3. R. F. Engle, 1972. "Band Spectrum Regressions," Working papers 96, Massachusetts Institute of Technology (MIT), Department of Economics.
  4. Lawrence H. Summers, 1982. "The Nonadjustment of Nominal Interest Rates: A Study of the Fisher Effect," NBER Working Papers 0836, National Bureau of Economic Research, Inc.
  5. Barro, Robert J, 1977. "Unanticipated Money Growth and Unemployment in the United States," American Economic Review, American Economic Association, vol. 67(2), pages 101-15, March.
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