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)
|Contact details of provider:|| Postal: Casa Academiei, Calea 13, Septembrie nr.13, sector 5, Bucureşti 761172|
Phone: 004 021 3188148
Fax: 004 021 3188148
Web page: http://www.ipe.ro/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
- Christian Dreger & Hans-Eggert Reimers & Barbara Roffia, 2007.
"Long-Run Money Demand in the New EU Member States with Exchange Rate Effects,"
Eastern European Economics,
Taylor & Francis Journals, vol. 45(2), pages 75-94, April.
- Christian Dreger & Hans-Eggert Reimers & Barbara Roffia, 2007. "Long-Run Money Demand in the New EU Member States with Exchange Rate Effects," Eastern European Economics, M.E. Sharpe, Inc., vol. 45(2), pages 75-94, April.
- Dreger, Christian & Reimers, Hans-Eggert & Roffia, Barbara, 2006. "Long-run money demand in the new EU Member States with exchange rate effects," Working Paper Series 0628, European Central Bank.
- Soderlind, Paul & Vredin, Anders, 1996.
"Applied Cointegration Analysis in the Mirror of Macroeconomic Theory,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 11(4), pages 363-81, July-Aug..
- Söderlind, Paul & Vredin, Anders, 1994. "Applied Cointegration Analysis in the Mirror of Macroeconomic Theory," SSE/EFI Working Paper Series in Economics and Finance 30, Stockholm School of Economics.
- Soderlind, P. & Vredin, A., 1994. "Applied Conintegration Analysis in the Mirror of Macroeconomic Theory," Papers 584, Stockholm - International Economic Studies.
- Söderlind, Paul & Vredin, Anders, 1995. "Applied Cointegration Analysis in the Mirror of Macroeconomic Theory," CEPR Discussion Papers 1120, C.E.P.R. Discussion Papers.
- Andreea Andronescu & Hassan Mohammadi & James Payne, 2004. "Long-run estimates of money demand in Romania," Applied Economics Letters, Taylor & Francis Journals, vol. 11(14), pages 861-864.
When requesting a correction, please mention this item's handle: RePEc:rjr:romjef:v:5:y:2008:i:3:p:51-62. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Corina Saman)
If references are entirely missing, you can add them using this form.