Canadian Money Demand Functions: Cointegration-Rank Stability.
A study was conducted to investigate Canadian money demand functions with the application of new tests for cointegration and for cointegration-rank stability with unknown change point. Historical data starting in 1872 and shorter spans starting in 1957 and 1968 were analyzed. Findings revealed tha...
| Publicado en: | Manchester School (14636786) Vol. 74; no. 2; pp. 214 - 231 |
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| Formato: | Artículo |
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Wiley-Blackwell
March 2006
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=511278593&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 511278593 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 14636786 MSE jtl: Manchester School (14636786) issn: 14636786 maglogo: N pubinfo: dt: March 2006 vid: 74 iid: 2 pid: 480 pub: Wiley-Blackwell artinfo: ui: 511278593 10.1111/j.1467-9957.2006.00489.x ppf: 214 ppct: 17 formats: tig: atl: Canadian Money Demand Functions: Cointegration-Rank Stability. aug: au: Haug, Alfred A. su: Vector autoregression model Mathematical models of economics Demand for money Money Canada sug: subj: Canada Vector autoregression model Mathematical models of economics Demand for money Money ab: A study was conducted to investigate Canadian money demand functions with the application of new tests for cointegration and for cointegration-rank stability with unknown change point. Historical data starting in 1872 and shorter spans starting in 1957 and 1968 were analyzed. Findings revealed that a specification with M1 possesses the most rank stability and that, in full samples as well as in subsamples, the rank does not fall below one and cointegration is present at all times. Findings indicated, however, that for all samples additional cointegrating relations enter the vector error-correction system. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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