Long‐run monetary neutrality and long‐horizon regressions
检验了长期货币中性假说，发现长跨度回归检验的统计功效很低，难以识别偏离中性假说的情况，对实证研究者有警示作用。
Abstract A prominent test of long‐run monetary neutrality (LRMN) involves regressing long‐horizon output growth on long‐horizon money growth. We obtain limited support for LRMN with this test in long‐annual Australian, Canadian, UK and US samples. Although empirical confidence intervals yield evidence in favour of LRMN, Monte Carlo experiments reveal the power of this test is near its size. Thus, this test is unlikely to detect important deviations from LRMN. These problems arise because the long‐horizon regression test of LRMN relies on estimates of the covariance of long‐horizon output growth and long‐horizon money growth. Copyright © 2004 John Wiley & Sons, Ltd.