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

19 Pages Posted: 19 Jun 2004 Last revised: 6 Sep 2010

See all articles by Bennett T. McCallum

Bennett T. McCallum

Carnegie Mellon University - David A. Tepper School of Business; National Bureau of Economic Research (NBER)

Date Written: June 1983

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.

Suggested Citation

McCallum, Bennett T., On Low-Frequency Estimates of "Long-Run" Relationships in Macro- Economics (June 1983). NBER Working Paper No. w1162. Available at SSRN: https://ssrn.com/abstract=305545

Bennett T. McCallum (Contact Author)

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