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A Vector Error Correction And Nonnested Modelling Of Money Demand Function In Nigeria

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  • Godwin Nwaobi

    (University of Abuja)

Abstract

This paper examines the stability of the demand for money in nigeria. With relatively simple model specifying a vector valued autoregressive process(VAR), the hypothesis of the existence of cointegration vectors is formulated as the hypothesis of reduced rank of the longrun impact matrix. This enabled us to derive estimates and test statistics for the hypothesis of a given number of cointegration vectors. The money demand function was found to be stable and evidence gathered from the non- nested tests suggest that income is the more appropriate scale variable in the estimation of money demand function in nigeria.

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File URL: http://128.118.178.162/eps/em/papers/0111/0111004.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Econometrics with number 0111004.

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Length: 26 pages
Date of creation: 30 Nov 2001
Date of revision:
Handle: RePEc:wpa:wuwpem:0111004

Note: Type of Document - Acrobat pdf; prepared on IBM PC ; to print on HP; pages: 26 ; figures: included. This is an econometric modelling research work.
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Web page: http://128.118.178.162

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Keywords: vector error correction model cointegration money demand consumption nonnested models;

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  1. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
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  13. Dr. Godwin Chukwudum Nwaobi, 2004. "Modelling Economic Fluctuations In Subsaharan Africa:A Vector Autoregressive Approach," Macroeconomics 0406008, EconWPA.
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  16. Hafer, R.W. & Jansen, D.W., 1990. "The Demand For Money In The United States: Evidence From Cointegration Tests," Papers 9010, Erasmus University of Rotterdam - Institute for Economic Research.
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Citations

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Cited by:
  1. Saten Kumar & Don J. Webber & Scott Fargher, 2011. "Money demand stability: A case study of Nigeria," Working Papers 2011-02, Auckland University of Technology, Department of Economics.
  2. Alimi, R. Santos, 2012. "The Quantity Theory of Money and Its Long Run Implications: Empirical Evidence from Nigeria," MPRA Paper 49598, University Library of Munich, Germany.
  3. Dr. Godwin Chukwudum Nwaobi, 2004. "Modelling Economic Fluctuations In Subsaharan Africa:A Vector Autoregressive Approach," Macroeconomics 0406008, EconWPA.
  4. Mustapha Abiodun Akinkunmi, . "Money Demand in Developing Countries: A Dynamic Panel Approach," Fordham Economics Dissertations, Fordham University, Department of Economics, number 2004.1, August.
  5. Emmanuel Anoruo, 2002. "Stability of the Nigerian M2 Money Demand Function in the SAP Period," Economics Bulletin, AccessEcon, vol. 14(3), pages 1-9.
  6. Awomuse, Bernard O. & Alimi, Santos R., 2012. "The Relationship between Nominal Interest Rates and Inflation: New Evidence and Implication for Nigeria," MPRA Paper 49684, University Library of Munich, Germany.
  7. Wehnam Peter Dabale & Nelson Jagero, 2013. "Causes of Interest Rate Volatility and its Economic Implications in Nigeria," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 3(4), pages 27-32, October.
  8. Abdullah, Muhammad & Chani, Muhammad Irfan & Ali, Amjad, 2012. "Determinants of Money Demand in Pakistan: Disaggregated Expenditure Approach," MPRA Paper 50977, University Library of Munich, Germany, revised 2013.

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