Spurious Regression And Cointegration. Numerical Example: Romania’S M2 Money Demand
Economic time series are, in their vast majority, integrated series so, their modelling procedure stumbles upon the problem of spurious regression. When existent, cointegration is the simplest way of eliminating the illogical correlation established between time series due to the presence of trends. The analysis of macroeconomic time series through cointegration is a common fact. Modelling the Romanian M2 money demand through cointegration and vector error correction led to somewhat significant results being a starting point for future, more complex research.
Volume (Year): 5 (2008)
Issue (Month): 3 (September)
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- Jarko Fidrmuc, 2009. "Money demand and disinflation in selected CEECs during the accession to the EU," Applied Economics, Taylor & Francis Journals, vol. 41(10), pages 1259-1267.Full references (including those not matched with items on IDEAS)
- Fidrmuc, Jarko, 2006. "Money Demand and Disinflation in Selected CEECs during the Accession to the EU," Discussion Papers in Economics 1232, University of Munich, Department of Economics.
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