It is well known that inference in vector autoregressive models depends crucially on the choice of lag-length. Various lag-length selection procedures have been suggested and evaluated in the literature. In these evaluations the possibility that the true model may have unequal lag-length has,...

In the classical monetary debates, the Banking School held that notes would be equally demand-elastic whether supplied by many or a single issuer. The Free Banking School held that notes would be less demand-elastic if supplied by a single issuer. These assertions have rarely, if ever, been...

The effects of note monopolisation on the amplitude of money and credit cycles are studied. Swedish bank data for 1871–1915 reveal that money cycles became smaller, but credit cycles larger, after the Bank of Sweden gained a note monopoly in 1904. At the same time, the money multiplier...

This paper studies the role of bank notes issued by the private Enskilda banks in the expansion of the Swedish monetary stock under the classic specie standard maintained during the period 1834-1913. The use of balance sheets has made possible the estimation of more accurate and continuous...

Starting from a linear error correction model the stability and linearity of a German M1 moneyt demand function are investigated, applying smooth transition regression techniques. Using seasonally unadjusted data from 1961 (1) to 1990 (2) it is found that the money demand equation is both linear...

In this paper, I try to shed some new light on the "puzzle" why the Lucas critique, believed to be important by most economists, seems to have received very little empirical support. I use a real business cycle model to verify that the Lucas critique is quantitatively important in theory, and to...

In this paper we propose a general method for testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. These tests are based on a Taylor expansion of the nonlinear model around a given point in a sample space. We study the performance of our tests by...

In this paper, new noncausality tests relying on a general nonlinear framework are proposed and their performance studied by a Monte Carlo experiment and a variety of nonlinear artificial series. Two of the tests are based on a Taylor expansion of the nonlinear model around a given point in the...

The detection of structural change and determination of lag lengths are long-standing issues in time series analysis. This paper demonstrates how these can be successfully married in a Bayesian analysis. By taking account of the inherent uncertainty about the lag length when deciding on the...

In this paper we introduce the Smooth Permanent Surge [SPS] model. The model is an integrated non lineal moving average process with possibly unit roots in the moving average coefficients. The process nests the Stochastic Permanent Break [STOPBREAK] process by Engle and Smith (1999) and in a...