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The stability of long-run money demand in the United States: A new approach

  • Wang, Yiming

In this paper, we search for cointegration relation and determine the location of the changes in the long-run money demand in the US. We use the same data set as the previous studies and find that there are two regime changes.

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File URL: http://www.sciencedirect.com/science/article/B6V84-51XR3DF-1/2/191582b6290dd00f41acb8fd1d009d21
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 111 (2011)
Issue (Month): 1 (April)
Pages: 60-63

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Handle: RePEc:eee:ecolet:v:111:y:2011:i:1:p:60-63
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, vol. 61(4), pages 783-820, July.
  2. Ball, Laurence, 2001. "Another look at long-run money demand," Journal of Monetary Economics, Elsevier, vol. 47(1), pages 31-44, February.
  3. Poole, William, 1988. "Monetary Policy Lessons of Recent Inflation and Disinflation," Journal of Economic Perspectives, American Economic Association, vol. 2(3), pages 73-100, Summer.
  4. 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.
  5. Lucas, Robert E., 1988. "Money demand in the United States: A quantitative review," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 29(1), pages 137-167, January.
  6. James G. MacKinnon & Alfred A. Haug & Leo Michelis, 1996. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Working Papers 1996_07, York University, Department of Economics.
  7. Bai, Jushan & Lumsdaine, Robin L & Stock, James H, 1998. "Testing for and Dating Common Breaks in Multivariate Time Series," Review of Economic Studies, Wiley Blackwell, vol. 65(3), pages 395-432, July.
  8. Zhongjun Qu, 2007. "Searching for cointegration in a dynamic system," Econometrics Journal, Royal Economic Society, vol. 10(3), pages 580-604, November.
  9. Dennis Hoffman & Robert H. Rasche, 1989. "The Demand For Money in the U.S. During the Great Depression: Estimates and Comparison with the Post War Experience," NBER Working Papers 3217, National Bureau of Economic Research, Inc.
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