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A vector error correction and nonnested modeling of money demand function in Nigeria




This paper examines the stability of the demand for money in Nigeria. With relatively simple model specifying a vector valued autoregressive process(VAR),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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Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 3 (2002)
Issue (Month): 4 ()
Pages: 1-8

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Handle: RePEc:ebl:ecbull:eb-01c50003
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  9. Hendry, David F & Ericsson, Neil R, 1991. "An Econometric Analysis of U.K. Money Demand in 'Monetary Trends in the United States and the United Kingdom' by Milton Friedman and Anna Schwartz," American Economic Review, American Economic Association, vol. 81(1), pages 8-38, March.
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  11. Pesaran, M H & Smith, R P & Yeo, J S, 1985. "Testing for Structural Stability and Predictive Failure: A Review," The Manchester School of Economic & Social Studies, University of Manchester, vol. 53(3), pages 280-95, September.
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  13. Pesaran, B. & Pesaran, M.H., 1992. "A Non-Nested Test of Level-Differenced versus Log-Differenced Stationary Models," Cambridge Working Papers in Economics 9222, Faculty of Economics, University of Cambridge.
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  15. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
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  18. Dr. Godwin Chukwudum Nwaobi, 2004. "Modelling Economic Fluctuations In Subsaharan Africa:A Vector Autoregressive Approach," Macroeconomics 0406008, EconWPA.
  19. 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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