Publication: What are we learning about the long-run?
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1992-05
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Abstract
An attempt is made to link together earlier definitions of the long-run found in micro and
macro economics with recent developments in econometrics; specifically cointegration. It is
suggested that the links are not strong and that most of the previous work in econometric
theory has been unnecessarily over-precise. Unit root processes can be replaced by processes
that approximate them without loss of interpretation. The possibility of embedding
cointegration theory into a very general non linear theory is suggested. An example uses a
nonIinear relationship between UK short and long run interest rate proposed by Frank Paish.
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The long-run in microeconomics, The long-run in macroeconomics, Cointegration, Approximating unit roots, Cointegration in nonlinear models