Advanced Search
MyIDEAS: Login

Limited and Full Information Estimation of the Rational Expectations Demand for Money Model: Application to Finnish M1

Contents:

Author Info

  • Ripatti, Antti

    ()
    (Bank of Finland Research)

Abstract

We compare parameter estimates of the intertemporal money-in-the-utility-function model estimated using the Generalized Method of Moments and the Full Information Maximum Likelihood method. The process driving the forcing variables is approximated with vector autoregression. The FIML estimates of the deep parameters are reasonable, although some of them differ from the corresponding GMM estimates. The simulation experiments suggest that the differences are not very big in practice and that they are connected with adjustment costs. The cross-equation restrictions are clearly rejected, as is typical for these kinds of models; exogeneity restrictions are rejected as well.

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.suomenpankki.fi/en/julkaisut/tutkimukset/keskustelualoitteet/Documents/DP_03_1997.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Bank of Finland in its series Research Discussion Papers with number 3/1997.

as in new window
Length: 31 pages
Date of creation: 21 Mar 1997
Date of revision:
Handle: RePEc:hhs:bofrdp:1997_003

Contact details of provider:
Postal: Bank of Finland, P.O. Box 160, FI-00101 Helsinki, Finland
Web page: http://www.suomenpankki.fi/en/
More information through EDIRC

Related research

Keywords: money-in-the-utility-function model; demand for money; narrow money; Generalized Method of Moments; Full Information Maximum Likelihood;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

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:hhs:bofrdp:1997_003. 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: (Minna Nyman).

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.