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Structural breaks, cointegration, and speed of adjustment Evidence from 12 LDCs money demand

Listed author(s):
  • Arize, Augustine C.
  • Malindretos, John
  • Shwiff, Steven S.
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    File URL: http://www.sciencedirect.com/science/article/pii/S1059-0560(99)00025-8
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    Article provided by Elsevier in its journal International Review of Economics & Finance.

    Volume (Year): 8 (1999)
    Issue (Month): 4 (November)
    Pages: 399-420

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    Handle: RePEc:eee:reveco:v:8:y:1999:i:4:p:399-420
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620165

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    1. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
    2. Banerjee, Anindya & Lumsdaine, Robin L & Stock, James H, 1992. "Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 271-287, July.
    3. Hendry, David F & Doornik, Jurgen A, 1994. "Modelling Linear Dynamic Econometric Systems," Scottish Journal of Political Economy, Scottish Economic Society, vol. 41(1), pages 1-33, February.
    4. Bardsen, Gunnar, 1989. "Estimation of Long Run Coefficients in Error Correction Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 51(3), pages 345-350, August.
    5. Domowitz, Ian & Elbadawi, Ibrahim, 1987. "An error-correction approach to money demand : The case of Sudan," Journal of Development Economics, Elsevier, vol. 26(2), pages 257-275, August.
    6. 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.
    7. Wickens, Michael R, 1972. "A Note on the Use of Proxy Variables," Econometrica, Econometric Society, vol. 40(4), pages 759-761, July.
    8. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Chapters,in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220 National Bureau of Economic Research, Inc.
    9. Edgar L. Feige, 2005. "Expectations And Adjustments In The Monetary Sector," Macroeconomics 0502005, EconWPA.
    10. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    11. Clive W. J. Granger, 1988. "Aggregation of time series variables-a survey," Discussion Paper / Institute for Empirical Macroeconomics 1, Federal Reserve Bank of Minneapolis.
    12. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
    13. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
    14. Johansen, Soren, 1992. "Determination of Cointegration Rank in the Presence of a Linear Trend," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 383-397, August.
    15. Peter C. B. Phillips & Bruce E. Hansen, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Oxford University Press, vol. 57(1), pages 99-125.
    16. Bijan B. Aghevli & Mohsin S. Khan & P. R. Narvekar & Brock K. Short, 1979. "Monetary Policy in Selected Asian Countries (La politique monétaire dans certains pays d'Asie) (La política monetaria de algunos países asiáticos seleccionados)," IMF Staff Papers, Palgrave Macmillan, vol. 26(4), pages 775-824, December.
    17. Hoffman, Dennis L. & Rasche, Robert H. & Tieslau, Margie A., 1995. "The stability of long-run money demand in five industrial countries," Journal of Monetary Economics, Elsevier, vol. 35(2), pages 317-339, April.
    18. Domowitz, Ian & Hakkio, Craig S, 1990. "Interpreting an Error Correction Model: Partial Adjustment, Forward-Looking Behaviour, and Dynamic International Money Demand," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(1), pages 29-46, January-M.
    19. Yin-Wong Cheung & Hung-Gay Fung & Kon S. Lai & Wai-Chung Lo, 1995. "Purchasing power parity under the European Monetary System," Journal of International Money and Finance, Elsevier, vol. 14(2), pages 179-189, April.
    20. MacDonald, Ronald & Taylor, Mark P, 1991. "Exchange Rates, Policy Convergence, and the European Monetary System," The Review of Economics and Statistics, MIT Press, vol. 73(3), pages 553-558, August.
    21. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    22. Koray, Faik & Lastrapes, William D, 1989. "Real Exchange Rate Volatility and U.S. Bilateral Trade: A VAR Approach," The Review of Economics and Statistics, MIT Press, vol. 71(4), pages 708-712, November.
    23. Zilberfarb, Ben-Zion, 1988. "The effects of foreign exchange risk and return on the demand for domestic balances," European Economic Review, Elsevier, vol. 32(6), pages 1359-1368, July.
    24. Stock, James H., 1991. "Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series," Journal of Monetary Economics, Elsevier, vol. 28(3), pages 435-459, December.
    25. Warner, Dennis & Kreinin, Mordechai E, 1983. "Determinants of International Trade Flows," The Review of Economics and Statistics, MIT Press, vol. 65(1), pages 96-104, February.
    26. Abdur Chowdhury, 1997. "The financial structure and the demand for money in Thailand," Applied Economics, Taylor & Francis Journals, vol. 29(3), pages 401-409.
    27. Marquez, Jaime, 1987. "Money demand in open economies: A currency substitution model for Venezuela," Journal of International Money and Finance, Elsevier, vol. 6(2), pages 167-178, June.
    28. Cuthbertson, Keith & Taylor, Mark P., 1990. "Money demand, expectations, and the forward-looking model," Journal of Policy Modeling, Elsevier, vol. 12(2), pages 289-315.
    29. Arango, Sebastian & Ishaq Nadiri, M., 1981. "Demand for money in open economies," Journal of Monetary Economics, Elsevier, vol. 7(1), pages 69-83.
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