On Low-Frequency Estimates of "Long-Run" Relationships in Macro- economics
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.
|Date of creation:||Jun 1983|
|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.|
|Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
Web page: http://www.nber.org
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- Sargent, Thomas J, 1971. "A Note on the 'Accelerationist' Controversy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 3(3), pages 721-725, August.
- Barro, Robert J, 1977.
"Unanticipated Money Growth and Unemployment in the United States,"
American Economic Review,
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- Robert J. Barro, 1976. "Unanticipated Money Growth and Unemployment in the United States," Working Papers 234, Queen's University, Department of Economics.
- 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.
- 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.
- Engle, Robert F, 1974. "Band Spectrum Regression," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 1-11, February.
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