Money demand function estimation by nonlinear cointegration
نویسندگان
چکیده
منابع مشابه
Nonparametric Estimation of Nonlinear Money Demand Cointegration Equation by Projection Pursuit Methods
Money demand equation continues to attract attention of econometricians with a new wrinkle provided by cointegration. We use projection pursuit (PP) regressions pioneered by Friedman and Stuetzle (1981) to suggest new estimates of partials of conditional expectations of the regressands with respect to the regressors and prove their consistency. Since the usual cointegration methodology involves...
متن کاملMultivariate 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,
متن کاملEstimation of Money Demand Function in Iran Including Households Religious Costs: A NARDL Approach
Money demand determinants vary in every economy. There are many studies about Iran money demand function, which employed different variables and estimation methods. In this study, broad money (M2) is dependent variable and GDP, interest rate, exchange rate and household religious costs are descriptive variables. Household religious costs (urban and rural) are included in Iran money demand funct...
متن کاملMoney 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 ...
متن کاملStable Money Demand and Nominal Money Causality of Output Growth: a Multivariate Cointegration Analysis of Croatia
The paper identifies monetary economic features of the post-transition Croatian economy, with a view towards using inflation rate targeting to reach European Union (EU) inflation targets as required by EU accession. If focuses on the demand for real money balances, the Fisher equation of interest rates, and the effect of nominal money on output, for Croatia over the 1994-2002 period. The real m...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 2007
ISSN: 0883-7252,1099-1255
DOI: 10.1002/jae.915