FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS*

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 ...

Aggregate and Household Demand for Money :

We use data from Public Opinion Surveys on Household Financial Assets and Li-abilities from 1991 to 2002 to investigate the issues of unobserved heterogeneity amongcross-sectional units and stability of Japanese aggregate money demand function. Condi-tions that permit individual data and aggregate data to be modeled under one consistentformat are given. Alternative definitions o...

Multivariate Panel Cointegration Models and Money Demand Function

Is just only one cointegrating vector among the panel variables? Based on the multivariate maximum likelihood cointegration tests offered by Larsson et al. (2001), the findings here provide solid evidence of the presence of at least two cointegrated vectors for the money demand function in GCC countries,

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

An Aggregate Import Demand Function for India: A Cointegration Analysis

This paper investigates the behaviour of Indian aggregate imports during the period 1971-1995. In our empirical analysis of the aggregate import demand function for India, cointegration and error correction modelling approaches have been used. In the aggregate import demand function for India, import volume is found to be cointegrated with relative import price and real GDP. Our econometric est...