Adaptive Estimation of Heteroscedastic Money Demand Model of Pakistan
نویسندگان
چکیده
For the problem of estimation of Money demand model of Pakistan, money supply (M1) shows heteroscedasticity of the unknown form. For estimation of such model we compare two adaptive estimators with ordinary least squares estimator and show the attractive performance of the adaptive estimators, namely, nonparametric kernel estimator and nearest neighbour regression estimator. These comparisons are made on the basis standard errors of the estimated coefficients, standard error of regression, Akaike Information Criteria (AIC) value, and the Durban-Watson statistic for autocorrelation. We further show that nearest neighbour regression estimator performs better when comparing with the other nonparametric kernel estimator.
منابع مشابه
تحلیل و ارزیابی الگوی پولی سیدراسکی در اقتصاد ایران
The specification of money demand function is one of the most important and disputable subjects in economics. With regard to its importance, many of economists have represented several theorizes about money demand. The Sidrauski monetary model is an interesting theory of money demand. Sidrauski extended Ramsey model with regard real balance of money which in the Sidrauski model the utili...
متن کاملA Critical Discourse about Demand for Money Studies in the Iranian Economy (1989- 2000)
This paper provides a critical review of the demand for money estimation. In doing so, first we explain the main effective factors on the demand for money on the light of monetarists, which those are: transaction demand for money and opportunity cost of holding money. Then I have done a short report about the existing studies on the demand for money in the Iranian economy and have a special att...
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 کاملEstimating a Function of Real Demand for Money in Pakistan: An Application of Bounds Testing Approach to Cointegration
This paper attempts to model a real demand for money function of Pakistan. For this purpose we apply bounds test based cointegration technique using the time series data for the period 1973 to 2010. Our findings included three determinants: 1) real income and 2) foreign exchange contain positive relation as well as for both long run and short run dynamics they are the most significant factors o...
متن کامل