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

Bennett McCallum

No 1162, NBER Working Papers from National Bureau of Economic Research, Inc

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.

Date: 1983-06
Note: EFG
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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.

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Journal Article: On low-frequency estimates of long-run relationships in macroeconomics (1984)
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