Advanced Search
MyIDEAS: Login to save this article or follow this journal

Spurious Regression And Cointegration. Numerical Example: Romania’S M2 Money Demand

Contents:

Author Info

  • Ruxanda, Gheorghe

    ()
    (Academy of Economic Studies, Bucharest)

  • Botezatu, Andreea

    ()
    (Academy of Economic Studies, Bucharest)

Registered author(s):

    Abstract

    Economic time series are, in their vast majority, integrated series so, their modelling procedure stumbles upon the problem of spurious regression. When existent, cointegration is the simplest way of eliminating the illogical correlation established between time series due to the presence of trends. The analysis of macroeconomic time series through cointegration is a common fact. Modelling the Romanian M2 money demand through cointegration and vector error correction led to somewhat significant results being a starting point for future, more complex research.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.ipe.ro/rjef/rjef3_08/rjef3_08_3.pdf
    Download Restriction: no

    Bibliographic Info

    Article provided by Institute for Economic Forecasting in its journal Romanian Journal for Economic Forecasting.

    Volume (Year): 5 (2008)
    Issue (Month): 3 (September)
    Pages: 51-62

    as in new window
    Handle: RePEc:rjr:romjef:v:5:y:2008:i:3:p:51-62

    Contact details of provider:
    Postal: Casa Academiei, Calea 13, Septembrie nr.13, sector 5, Bucureşti 761172
    Phone: 004 021 3188148
    Fax: 004 021 3188148
    Email:
    Web page: http://www.ipe.ro/
    More information through EDIRC

    Related research

    Keywords: spurious regression; cointegration; money demand; error correction mechanism.;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Jarko Fidrmuc, 2009. "Money demand and disinflation in selected CEECs during the accession to the EU," Applied Economics, Taylor & Francis Journals, vol. 41(10), pages 1259-1267.
    2. Söderlind, Paul & Vredin, Anders, 1994. "Applied Cointegration Analysis in the Mirror of Macroeconomic Theory," Working Paper Series in Economics and Finance 30, Stockholm School of Economics.
    3. Christian Dreger & Hans-Eggert Reimers & Barbara Roffia, 2007. "Long-Run Money Demand in the New EU Member States with Exchange Rate Effects," Eastern European Economics, M.E. Sharpe, Inc., vol. 45(2), pages 75-94, April.
    4. Andreea Andronescu & Hassan Mohammadi & James Payne, 2004. "Long-run estimates of money demand in Romania," Applied Economics Letters, Taylor & Francis Journals, vol. 11(14), pages 861-864.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:rjr:romjef:v:5:y:2008:i:3:p:51-62. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Corina Saman).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.