NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

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

Bennett T. McCallum

NBER Working Paper No. 1162 (Also Reprint No. r0556)
Issued in June 1983
NBER Program(s):   EFG

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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Document Object Identifier (DOI): 10.3386/w1162

Published: 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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