Econometric Models of Relationship among Money, Output and Prices
AbstractThis paper discusses the econometric models and tools like Granger causality and VAR discussed in ascertaining the relationship between money, output and prices. It found that Jha et al (2002) and Ahmed (2003) employed a VAR model accompanied by ECM and Johansen-Juselius procedure; others like Rangarajan et al (1990) employed simulation models containing regressions equations of variety of forms simple linear function and double logarithmic function, and also autoregressive equations of first order (AR1) and only Ray et al (1988) employed filters for prewhitening purpose i.e. making a nonstationary series stationary. The filter technique did not seem to be popular. Even Jha et al (2002) employed ADF test in order to detect the level of integration of the series and accordingly took measures to ensure stationarity.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 22884.
Date of creation: 2010
Date of revision:
Granger; causality; Sims; vector autoregression; multiplier;
Find related papers by JEL classification:
- E0 - Macroeconomics and Monetary Economics - - General
- B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
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- Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 48(3), pages 213-28, August.
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