Cointegration, structural breaks and the demand for money in Bangladesh

A New Nonlinear Specification of Structural Breaks for Money Demand in Iran

In a structural time series regression model, binary variables have been used to quantify qualitative or categorical quantitative events such as politic and economic structural breaks, regions, age groups and etc. The use of the binary dummy variables is not reasonable because the effect of an event decreases (increases) gradually over time not at once. The simple and basic idea in this paper i...

Estimating And Forecasting Demand For Broad Money In Iran Through Cointegration Analysis And Stochastic Simulation

a new nonlinear specification of structural breaks for money demand in iran

in a structural time series regression model, binary variables have been used to quantify qualitative or categorical quantitative events such as politic and economic structural breaks, regions, age groups and etc. the use of the binary dummy variables is not reasonable because the effect of an event decreases (increases) gradually over time not at once. the simple and basic idea in this paper i...

Simple Tests for Cointegration in Dependent Panels with Structural Breaks∗

This paper develops two very simple tests for the null hypothesis of no cointegration in panel data. The tests are general enough to allow for heteroskedastic and serially correlated errors, unit specific time trends, cross-sectional dependence and an unknown structural break in both the intercept and slope of the cointegrated regression, which may be located at different dates for different un...

Money Demand Functions: Cointegration and Long{Run Stability

This paper applies conventional tests (Johansen, 1995) and new tests (Chao and Phillips,1999) for cointegration to long{run money demand functions using Canadian data from 1872 to 1997. If cointegration is found, recently proposed tests by Quintos (1997) for stability of the cointegration rank are carried out. The paper focuses on two spans of data: one span starting in 1872, the other in 1957 ...