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Canadian Money Demand Functions Cointegration¨CRank Stability

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Author Info
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
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File Function: First version, 2002
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Publisher 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;

Find related papers by JEL classification:
E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

References listed on IDEAS
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  1. Bordo, Michael D & Jonung, Lars & Siklos, Pierre L, 1997. "Institutional Change and the Velocity of Money: A Century of Evidence," Economic Inquiry, Oxford University Press, vol. 35(4), pages 710-24, October.
  2. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May. [Downloadable!] (restricted)
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  3. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-66, July. [Downloadable!] (restricted)
    Other versions:
  4. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July. [Downloadable!] (restricted)
    Other versions:
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