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Non-nested tests for competing U.S. narrow money demand functions

  • Chen, Yi-Ting
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    Article provided by Elsevier in its journal Economic Modelling.

    Volume (Year): 23 (2006)
    Issue (Month): 2 (March)
    Pages: 339-363

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    Handle: RePEc:eee:ecmode:v:23:y:2006:i:2:p:339-363
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    1. Milton Friedman & Anna J. Schwartz, 1982. "Monetary Trends in the United States and United Kingdom: Their Relation to Income, Prices, and Interest Rates, 1867–1975," NBER Books, National Bureau of Economic Research, Inc, number frie82-2, December.
    2. Roley, V Vance, 1985. "Money Demand Predictability," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 17(4), pages 611-41, November.
    3. Wooldridge, J.M, 1989. "An Encompassing Approach To Conditional Mean Tests With Applications To Testing Nonnested Hypotheses," Working papers 511, Massachusetts Institute of Technology (MIT), Department of Economics.
    4. McKenzie, C. R., 1992. "Money demand in an open economy," Journal of the Japanese and International Economies, Elsevier, vol. 6(2), pages 176-198, June.
    5. Heller, H Robert & Khan, Mohsin S, 1979. "The Demand for Money and the Term Structure of Interest Rates," Journal of Political Economy, University of Chicago Press, vol. 87(1), pages 109-29, February.
    6. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, July.
    7. Friedman, Milton, 1977. " Time Perspective in Demand for Money," Scandinavian Journal of Economics, Wiley Blackwell, vol. 79(4), pages 397-416.
    8. Mizon, Grayham E & Richard, Jean-Francois, 1986. "The Encompassing Principle and Its Application to Testing Non-nested Hypotheses," Econometrica, Econometric Society, vol. 54(3), pages 657-78, May.
    9. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    10. Allan W. Gregory & Michael McAleer, 1983. "Testing Non-Nested Specifications of Money Demand for Canada," Canadian Journal of Economics, Canadian Economics Association, vol. 16(4), pages 593-602, November.
    11. Russell Davidson & James G. MacKinnon, 1980. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Working Papers 378, Queen's University, Department of Economics.
    12. Wooldridge, Jeffrey M., 1990. "A Unified Approach to Robust, Regression-Based Specification Tests," Econometric Theory, Cambridge University Press, vol. 6(01), pages 17-43, March.
    13. Mankiw, N Gregory & Summers, Lawrence H, 1986. "Money Demand and the Effects of Fiscal Policies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 18(4), pages 415-29, November.
    14. Benjamin M. Friedman & Kenneth N. Kuttner, 1998. "Indicator Properties Of The Paper-Bill Spread: Lessons From Recent Experience," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 34-44, February.
    15. Elyasiani, Elyas & Zadeh, Ali H. M., 1999. "Econometric tests of alternative scale variables in money demand in open economies: International evidence from selected OECD countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(2), pages 193-211.
    16. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
    17. Cooley, Thomas F & LeRoy, Stephen F, 1981. "Identification and Estimation of Money Demand," American Economic Review, American Economic Association, vol. 71(5), pages 825-44, December.
    18. Subramanian S. Sriram, 1999. "Survey of Literature on Demand for Money: Theoretical and Empirical Work with Special Reference to Error-Correction Models," IMF Working Papers 99/64, International Monetary Fund.
    19. Stephen M. Goldfeld, 1976. "The Case of the Missing Money," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 7(3), pages 683-740.
    20. Brissimis, Sophocles N & Leventakis, John A, 1985. "Specification Tests of the Money Demand Function in an Open Economy," The Review of Economics and Statistics, MIT Press, vol. 67(3), pages 482-89, August.
    21. Holmes, James M & Smyth, David J, 1972. "The Specification of the Demand for Money and the Tax Multiplier," Journal of Political Economy, University of Chicago Press, vol. 80(1), pages 179-85, Jan.-Feb..
    22. Goldfeld, Stephen M. & Sichel, Daniel E., 1990. "The demand for money," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 8, pages 299-356 Elsevier.
    23. Stephen M. Goldfeld, 1973. "The Demand for Money Revisited," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 4(3), pages 577-646.
    24. Milbourne, Ross, 1985. "Distinguishing between Australian Demand for Money Models," Australian Economic Papers, Wiley Blackwell, vol. 24(44), pages 154-68, June.
    25. Gordon Fisher & Michael McAleer, 1981. "Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses," Working Papers 420, Queen's University, Department of Economics.
    26. Robert J. Gordon, 1984. "The 1981-82 Velocity Decline: A Structural Shift in Income or Money Demand?," NBER Working Papers 1343, National Bureau of Economic Research, Inc.
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