TY  - JOUR
AU  - McCallum,Bennett T.
TI  - On Low-Frequency Estimates of "Long-Run" Relationships in Macro-       economics
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 1162
PY  - 1984
Y2  - December 1984
UR  - http://www.nber.org/papers/w1162
L1  - http://www.nber.org/papers/w1162.pdf
N1  - Author contact info:
Bennett T. McCallum
Tepper School of Business, Posner 256
Carnegie Mellon University
Pittsburgh, PA 15213
Tel: 412/268-2347
Fax: 412/268-6830
E-Mail: bm05@andrew.cmu.edu
AB  - 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.
ER  -