Nonlinear error-correction and the UK demand for broad money, 1878-1993
AbstractThis paper reconsiders a nonlinear error-correction model of UK broad money demand by Ericsson, Hendry and Prestwich. Their model can be viewed as an approximation to a smooth transition regression (STR) type specification. The corresponding STR model, when estimated, turns out to encompass the previous model. Adopting a somewhat more general modelling approach leads to another STR model. This model variance dominates the other two but does not encompass them. Nevertheless, it fits better than the other models in the eventful 1970s and 1980s.
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Bibliographic InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 265.
Length: 27 pages
Date of creation: 07 Oct 1998
Date of revision: 30 Nov 1998
Publication status: Published in Journal of Applied Econometrics, 2001, pages 277-288.
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Dynamic model; econometric model building; encompassing; parameter constancy; smooth transition regression.;
Other versions of this item:
- Timo Teräsvirta & Ann-Charlotte Eliasson, 2001. "Non-linear error correction and the UK demand for broad money, 1878-1993," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 277-288.
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
This paper has been announced in the following NEP Reports:
- NEP-ALL-1998-10-15 (All new papers)
- NEP-ECM-1998-10-19 (Econometrics)
- NEP-ETS-1998-10-15 (Econometric Time Series)
- NEP-MON-1998-10-15 (Monetary Economics)
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