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Friedman and Schwartz (1982) revisited: Assessing annual and phase-average models of money demand in the United Kingdom

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Author Info

  • David F. Hendry

    ()
    (Nuffield College, Oxford OX1 1NF, UK)

  • Kevin M. Prestwich

    ()
    (AMS-American Management Systems, 12601 Fair Lakes Circle, Fairfax, Virginia 22033, USA)

  • Neil R. Ericsson

    ()
    (Stop 24, Division of International Finance, Federal Reserve Board, 2000 C Street, N.W., Washington, DC 20551, USA)

Abstract

Several studies have developed empirical models of U.K. money demand using the century of annual and phase-average data in Friedman and Schwartz (1982). The current paper evaluates key models from those studies, employing tests of constancy and encompassing. The evidence strongly favors an annual model from Ericsson, Hendry, and Prestwich (1998a), whereas models based on the phase-average data fare poorly.

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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 23 (1998)
Issue (Month): 3 ()
Pages: 401-415

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Handle: RePEc:spr:empeco:v:23:y:1998:i:3:p:401-415

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Related research

Keywords: constancy · encompassing · Friedman and Schwartz · money demand · phase averaging;

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Cited by:
  1. Hondroyiannis, George & Swamy, P. A. V. B. & Tavlas, George S., 2001. "Modelling the long-run demand for money in the United Kingdom: a random coefficient analysis," Economic Modelling, Elsevier, vol. 18(3), pages 475-501, August.

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