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Forecasting in a large macroeconomic system

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Author Info

  • Harvey Cutler
  • Stephen Davies
  • Martin Schmidt

Abstract

This paper examines the efficiency gains yielded from estimating multiple equation cointegrated systems as compared to their single equation counterparts. In particular, this paper is concerned with the ability of utilizing the cointegrating information to improve forecasting performance. Recently an inability to improve forecasts of real income once money demand error correction terms were introduced has been used to argue that the M2 relationship had broken down during the early 1990s. However, the results suggest that once the underlying responses of variables are more closely investigated, the behaviour of M2 has remained stable.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/000368400421057
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics.

Volume (Year): 32 (2000)
Issue (Month): 13 ()
Pages: 1711-1718

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Handle: RePEc:taf:applec:v:32:y:2000:i:13:p:1711-1718

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Cited by:
  1. Martin Schmidt, 2003. "Money and prices: evidence from the G7 countries," Applied Economics, Taylor & Francis Journals, vol. 35(17), pages 1799-1809.
  2. Amir Kia, 2006. "Economic policies and demand for money: evidence from Canada," Applied Economics, Taylor & Francis Journals, vol. 38(12), pages 1389-1407.
  3. Martin Schmidt, 2007. "The long and short of money: short-run dynamics within a structural model," Applied Economics, Taylor & Francis Journals, vol. 40(2), pages 175-192.
  4. Schmidt, Martin B., 2001. "The long and short of money and prices: a market equilibrium approach," Journal of Economics and Business, Elsevier, vol. 53(6), pages 563-583.
  5. Martin B. Schmidt, 2004. "Exogeneity within the M2 Demand Function: Evidence from a Large Macroeconomic System," Economic Inquiry, Western Economic Association International, vol. 42(4), pages 634-646, October.

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