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Canadian Money Demand Functions Cointegration¨CRank Stability

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  • Alfred A. Haug

    (York University, Canada)

Abstract

This paper applies conventional tests (Johansen, 1995) and new tests (Chao and Phillips, 1999) for cointegration to long¨Crun money demand functions using historical Canadian data back to 1872. If cointegration is found, recently proposed tests by Quintos (1998a) for stability of the cointegration rank are carried out. The paper focuses on two spans of data: one span starting in 1872, the other in 1957 or 1968. Annual data are used for the former span, and annual and quarterly data for the latter. The preferred money demand specification involves M1.

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File URL: http://dept.econ.yorku.ca/research/workingPapers/working_papers/moneyca.pdf
File Function: First version, 2002
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Bibliographic Info

Paper provided by York University, Department of Economics in its series Working Papers with number 2002_10.

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Length: 23 pages
Date of creation: Oct 2002
Date of revision:
Handle: RePEc:yca:wpaper:2002_10

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Related research

Keywords: Vector error-correction; unknown change points; long spans of monetary data;

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  1. Donald W.K. Andrews & Christopher J. Monahan, 1990. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Cowles Foundation Discussion Papers 942, Cowles Foundation for Research in Economics, Yale University.
  2. Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
  3. Bordo, Michael D & Jonung, Lars & Siklos, Pierre L, 1997. "Institutional Change and the Velocity of Money: A Century of Evidence," Economic Inquiry, Western Economic Association International, vol. 35(4), pages 710-24, October.
  4. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
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