On low-frequency estimates of long-run relationships in macroeconomics
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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- Bennet T. McCallum, 1984.
"A Linearized Version of Lucas's Neutrality Model,"
Canadian Journal of Economics,
Canadian Economics Association, vol. 17(1), pages 138-145, February.
- Robert J. Barro, 1976.
"Unanticipated Money Growth and Unemployment in the United States,"
234, Queen's University, Department of Economics.
- Barro, Robert J, 1977. "Unanticipated Money Growth and Unemployment in the United States," American Economic Review, American Economic Association, vol. 67(2), pages 101-115, March.
- 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.
- 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.
- R. F. Engle, 1972.
"Band Spectrum Regressions,"
96, Massachusetts Institute of Technology (MIT), Department of Economics.
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