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Hypothesis Testing for Cointegration Vectors: with Application to the Demand for Money in Denmark and Finland
Johansen, Søren; Juselius, Katarina - Økonomisk Institut, Københavns Universitet - 1988
The purpose of this paper is to give a systematic account of the maximum likelihood inference concerning cointegration … vectors in non-stationary vector value autoregressive time series with Gaussian errors. The hypothesis of r cointegration … vectors is given a simple parametric formulation in terms of cointegration vectors and their weights. We then estimate and …
Persistent link: https://www.econbiz.de/10005749557
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The demand for broad money in Norway, 1969-1993
Eitrheim, ûyvind - In: Empirical Economics 23 (1998) 3, pp. 339-354
Cointegration analysis is applied to investigate the long run relationships between money, prices, and wages in Norway …
Persistent link: https://www.econbiz.de/10005382373
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Demand for Money By Business Sector in a Developing Country: Evidence from Pakistan
Qayyum, Abdul - Volkswirtschaftliche Fakultät, … - 1999
The paper provides estimate of money (M2) demand for business sector in Pakistan. By using cointegartion analysis and erropr correction mechanism the study found that business sectors money demand behaviour is completely different from the aggregate money demand function. The rate of interest on...
Persistent link: https://www.econbiz.de/10005260062
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Error Correction Model of the Demand for Money in Pakistan
Qayyum, Abdul - Volkswirtschaftliche Fakultät, … - 1998
The paper estimated dynamic demand for money (Currency) function for Pakistan. it is concluded that in the long run money demand depends on income, rate of inflation and bond rate. The rate of Inflation and rate of interst on deposits emerged as important determinant of money demand in the short...
Persistent link: https://www.econbiz.de/10005260334
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Modelling the Demand for Money in Pakistan
Qayyum, Abdul - Volkswirtschaftliche Fakultät, … - 2005
The study estimates the dynamic demand for money (M2) function in Pakistan by employing cointegration analysis and …
Persistent link: https://www.econbiz.de/10005835602
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Money Demand in Guyana
Egoumé-Bossogo, Philippe - International Monetary Fund (IMF) - 2000
This paper analyzes broad money demand (M2) in Guyana from January 1990 to September 1999; a period marked by deep transformations aimed at shifting Guyana from a centralized to a market economy. The paper develops a stable error-correction model based on a long-run cointegrating vector of money...
Persistent link: https://www.econbiz.de/10005825837
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Broad Money Demand and Asset Substitution in China
Wu, Ge - International Monetary Fund (IMF) - 2009
Recent changes to China's financial system, in particular ongoing interest rate liberalization, gradual movement toward a more flexible exchange rate regime, and rapid development of capital markets, have changed substantially the environment in which monetary policy operates. In light of these...
Persistent link: https://www.econbiz.de/10008528622
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The Dominican Republic; Stabilization, Structural Reform, and Economic Growth
Cardoso, Jaime; Young, Philip M. - International Monetary Fund (IMF) - 2002
Persistent link: https://www.econbiz.de/10005590873
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Power and Bias of Likelihood Based Inference in the Cointegration Model under Fractional Cointegration
Andersson, Michael K.; Gredenhoff, Mikael P. - Economics Institute for Research (SIR), … - 1998
This paper investigates how fractional cointegration affects the common maximum likelihood cointegration procedure. It … is shown that the likelihood ratio test of no cointegration has considerable power against fractional alternatives. In … long-run relation under fractional cointegration. This suggests that the standard likelihood approach should be used with …
Persistent link: https://www.econbiz.de/10005190901
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On the causal relationship between trade-openness and government-size: evidence from OECD countries
Molana, Hassan; Montagna, Catia; Violato, Mara - In: International Journal of Public Policy 7 (2011) 4/5/6, pp. 226-249
The compensation hypothesis predicts a positive causation from international economic openness to the size of the public sector, as governments step in to perform a risk mitigating role to counterbalance the increasing exposure to external risk and the economic dislocations caused by growing...
Persistent link: https://www.econbiz.de/10010670287