U.S. Money Demand Instability: A Flexible Least Squares Approach
AbstractThis study uses the Flexible Least Squares method for Time-Varying Linear Regression (FLS-TVLR) to investigate coefficient stability for the Goldfeld U.S. money demand model over the volatile period 1959:Q2 to 1985:Q3. The only constraint imposed on coefficient variation over time is a smoothness prior. Nevertheless, the time paths traced out by the FLS-TVLR coefficient estimates exhibit systematic idiosyncratic time variations as well as simultaneous shift movements in 1974 during the time of the first oil price shock. Moreover, the FLS-TVLR estimates also indicate that the "unit root" nonstationarity problem reported by OLS money demand studies disappears if the coefficients are allowed to exhibit even small amounts of time variation. Annotated pointers to related work can be accessed here: http://www.econ.iastate.edu/tesfatsi/flshome.htm
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Southern California - Department of Economics in its series Papers with number m8809.
Length: 35 pages
Date of creation: 1988
Date of revision:
Contact details of provider:
Postal: UNIVERSITY OF SOUTHERN CALIFORNIA, DEPARTMENT OF ECONOMICS, UNIVERSITY PARK LOS ANGELES CALIFORNIA 90089-0152 U.S.A.
Phone: (213) 740-8335
Fax: (213) 740-8543
Web page: http://www.usc.edu/dept/LAS/economics/
More information through EDIRC
econometrics ; monetary theory ; demand;
Other versions of this item:
- Tesfatsion, Leigh & Veitch, John M., 1990. "U.S. money demand instability A flexible least squares approach," Journal of Economic Dynamics and Control, Elsevier, vol. 14(1), pages 151-173, February.
- Tesfatsion, Leigh S. & Veitch, J., 1990. "U.S. Money Demand Instability: A Flexible Least Squares Approach," Staff General Research Papers 11193, Iowa State University, Department of Economics.
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Kuethe, Todd H. & Foster, Kenneth A. & Florax, Raymond J.G.M., 2008. "A Spatial Hedonic Model with Time-Varying Parameters: A New Method Using Flexible Least Squares," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6306, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Ling T. He, & James. R. Webb & Neil Myer, 2003. "Interest Rate Sensitivities of REIT Returns," International Real Estate Review, Asian Real Estate Society, vol. 6(1), pages 1-21.
- Kalaba, Robert & Tesfatsion, Leigh, 1996.
"A multicriteria approach to model specification and estimation,"
Computational Statistics & Data Analysis,
Elsevier, vol. 21(2), pages 193-214, February.
- Kalaba, Robert E. & Tesfatsion, Leigh S., 1996. "A Multicriteria Approach to Model Specification and Estimation," Staff General Research Papers 1684, Iowa State University, Department of Economics.
- Robert Kalaba & Leigh Tesfatsion, 1995. "A Multicriteria Approach to Model Specification and Estimation," Econometrics 9501001, EconWPA.
- Poray, Michael C. & Foster, Kenneth A. & Dorfman, Jeffrey H., 2000. "Measuring An Almost Ideal Demand System With Generalized Flexible Least Squares," 2000 Annual meeting, July 30-August 2, Tampa, FL 21796, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Ling He & Alan Reichert, 2003. "Time variation paths of factors affecting financial institutions and stock returns," Atlantic Economic Journal, International Atlantic Economic Society, vol. 31(1), pages 71-86, March.
- Vêlayoudom Marimoutou & Denis Peguin & Anne Peguin-Feissolle, 2010.
"The "distance-varying" gravity model in international economics: is the distance an obstacle to trade?,"
- Vêlayoudom Marimoutou & Denis Peguin & Anne Peguin-Feissolle, 2009. "The "distance-varying" gravity model in international economics: is the distance an obstacle to trade?," Economics Bulletin, AccessEcon, vol. 29(2), pages 1139-1155.
- Vêlayoudom Marimoutou & Denis Peguin & Anne Peguin-Feissolle, 2009. "The "distance-varying" gravity model in international economics: is the distance an obstacle to trade?," Post-Print hal-00389570, HAL.
- He, Ling T., 2005. "Instability and predictability of factor betas of industrial stocks: The Flexible Least Squares solutions," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 619-640, September.
- Kim, Man-Keun & Lee, Andrew C., 2005. "Time Varying Coefficient: An Application of Flexible Least Squares to Cattle Captive Supply," 2005 Annual meeting, July 24-27, Providence, RI 19124, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Markus Ebner & Thorsten Neumann, 2005. "Time-Varying Betas of German Stock Returns," Financial Markets and Portfolio Management, Springer, vol. 19(1), pages 29-46, June.
- Dorfman, Jeffrey H. & Foster, Kenneth A., 1991. "Estimating Productivity Changes With Flexible Coeficients," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 16(02), December.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel).
If references are entirely missing, you can add them using this form.