On Low-Frequency Estimates of "Long-Run" Relationships in Macro- economics /
McCallum, Bennett T.
On Low-Frequency Estimates of "Long-Run" Relationships in Macro- economics / Bennett T. McCallum. - Cambridge, Mass. National Bureau of Economic Research 1983. - 1 online resource: illustrations (black and white); - NBER working paper series no. w1162 . - Working Paper Series (National Bureau of Economic Research) no. w1162. .
June 1983.
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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Mode of access: World Wide Web.
On Low-Frequency Estimates of "Long-Run" Relationships in Macro- economics / Bennett T. McCallum. - Cambridge, Mass. National Bureau of Economic Research 1983. - 1 online resource: illustrations (black and white); - NBER working paper series no. w1162 . - Working Paper Series (National Bureau of Economic Research) no. w1162. .
June 1983.
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.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.