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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/pii/S0165-1765(11)00002-4
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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. Laurence Ball, 1998. "Another Look at Long-Run Money Demand," NBER Working Papers 6597, National Bureau of Economic Research, Inc.
  2. MacKinnon, James G & Haug, Alfred A & Michelis, Leo, 1999. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 563-77, Sept.-Oct.
  3. 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.
  4. James H. Stock & Mark W. Watson, 1991. "A simple estimator of cointegrating vectors in higher order integrated systems," Working Paper Series, Macroeconomic Issues 91-3, Federal Reserve Bank of Chicago.
  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. William Poole, 1987. "Monetary Policy Lessons of recent Inflation and Disinflation," NBER Working Papers 2300, National Bureau of Economic Research, Inc.
  7. Jushan Bai & Robin L. Lumsdaine & James H. Stock, 1998. "Testing For and Dating Common Breaks in Multivariate Time Series," Review of Economic Studies, Oxford University Press, vol. 65(3), pages 395-432.
  8. 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.
  9. Zhongjun Qu, 2007. "Searching for cointegration in a dynamic system," Econometrics Journal, Royal Economic Society, vol. 10(3), pages 580-604, November.
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