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Was money demand in the USA unstable before 1982? An application of the sup-F stability test

  • Greene, Clinton A.
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    File URL: http://www.sciencedirect.com/science/article/B6V7T-468TCKD-3/2/af538dbabd7c7c79fcb3ce272a836c2d
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    Article provided by Elsevier in its journal Journal of Economics and Business.

    Volume (Year): 54 (2002)
    Issue (Month): 5 ()
    Pages: 465-481

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    Handle: RePEc:eee:jebusi:v:54:y:2002:i:5:p:465-481
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconbus

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    1. Anindya Banerjee & Robin L. Lumsdaine & James H. Stock, 1990. "Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence," NBER Working Papers 3510, National Bureau of Economic Research, Inc.
    2. Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
    3. Bruce E. Hansen, 1998. "Testing for Structural Change in Conditional Models," Boston College Working Papers in Economics 310., Boston College Department of Economics.
    4. Christiano, Lawrence J, 1992. "Searching for a Break in GNP," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 237-50, July.
    5. Andrews, Donald W. K. & Lee, Inpyo & Ploberger, Werner, 1996. "Optimal changepoint tests for normal linear regression," Journal of Econometrics, Elsevier, vol. 70(1), pages 9-38, January.
    6. 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.
    7. Phillips, Peter C B & Loretan, Mico, 1991. "Estimating Long-run Economic Equilibria," Review of Economic Studies, Wiley Blackwell, vol. 58(3), pages 407-36, May.
    8. Peter C. B. Phillips, 1998. "New Tools for Understanding Spurious Regressions," Econometrica, Econometric Society, vol. 66(6), pages 1299-1326, November.
    9. Hansen, Bruce E, 2002. "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 45-59, January.
    10. 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.
    11. Saikkonen, Pentti, 1991. "Asymptotically Efficient Estimation of Cointegration Regressions," Econometric Theory, Cambridge University Press, vol. 7(01), pages 1-21, March.
    12. Ploberger, Werner & Kramer, Walter & Kontrus, Karl, 1989. "A new test for structural stability in the linear regression model," Journal of Econometrics, Elsevier, vol. 40(2), pages 307-318, February.
    13. Smith, Gregor W, 1989. "Transactions Demand for Money with a Stochastic, Time-Varying Interest Rate," Review of Economic Studies, Wiley Blackwell, vol. 56(4), pages 623-33, October.
    14. R. W. Hafer & Scott E. Hein, 1979. "Evidence on the temporal stability of the demand for money relationship in the United States," Review, Federal Reserve Bank of St. Louis, issue Dec, pages 3-14.
    15. Inder, Brett, 1993. "Estimating long-run relationships in economics : A comparison of different approaches," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 53-68.
    16. Francis X. Diebold & Celia Chen, 1993. "Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures," Working Papers 93-11, Federal Reserve Bank of Philadelphia.
    17. Cutler, Harvey & Davies, Stephen & Rhodd, Janice & Schwarm, Walter, 1997. "The Demand for M1 in a Large Macroeconomic System: Evidence from Cointegration Analysis," Journal of Macroeconomics, Elsevier, vol. 19(1), pages 53-78, January.
    18. Hao, K. & Inder, B., 1995. "A Modified Fluctuation Test for Structural Change," Monash Econometrics and Business Statistics Working Papers 18/95, Monash University, Department of Econometrics and Business Statistics.
    19. R. W. Hafer & Scott E. Hein, 1980. "The dynamics and estimation of short-run money demand," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 26-35.
    20. 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.
    21. 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.
    22. Allan H. Meltzer, 1963. "The Demand for Money: The Evidence from the Time Series," Journal of Political Economy, University of Chicago Press, vol. 71, pages 219.
    23. Hamburger, Michael J., 1977. "Behavior of the money stock : Is there a puzzle?," Journal of Monetary Economics, Elsevier, vol. 3(3), pages 265-288, July.
    24. Hamburger, Michael J, 1973. "The Demand for Money in 1971: Was There a Shift? Comment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 5(2), pages 720-25, May.
    25. Swanson, Norman R., 1998. "Money and output viewed through a rolling window," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 455-474, May.
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