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Analyzing the Stability of Demand-for-Money Equations via Bounded-Influence Estimation Techniques

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Author Info

  • Baum, Christopher F
  • Furno, Marilena

Abstract

A robust estimation technique--bounded-influence instrumental variables--is applied to an error-correction model formulation of a U.S. money-demand equation. The weights generated by bounded-influence instrumental variables are used to diagnose structural instability in the specification of the equations and their error processes. These techniques are shown to be valuable additions to the empirical researchers' toolkit and have been implemented in commonly-used econometric software. Copyright 1990 by Ohio State University Press.

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Bibliographic Info

Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

Volume (Year): 22 (1990)
Issue (Month): 4 (November)
Pages: 465-77

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Handle: RePEc:mcb:jmoncb:v:22:y:1990:i:4:p:465-77

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

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Cited by:
  1. Hueng, C. James, 1999. "Money demand in an open-economy shopping-time model: an out-of-sample-prediction application to Canada," Journal of Economics and Business, Elsevier, vol. 51(6), pages 489-503.
  2. Yash P. Mehra, 1992. "In search of a stable, short-run M1 demand function," Economic Review, Federal Reserve Bank of Richmond, issue May, pages 9-23.
  3. Yash P. Mehra, 1991. "An error-correction model of U.S. M2 demand," Economic Review, Federal Reserve Bank of Richmond, issue May, pages 3-12.
  4. Coppock, Lee & Poitras, Marc, 2000. "Evaluating the Fisher effect in long-term cross-country averages," International Review of Economics & Finance, Elsevier, vol. 9(2), pages 181-192.

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