IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

A smooth transition regression equation of the demand for UK M0

  • A. J. Khadaroo
Registered author(s):

    The econometric analysis of UK M0 has, so far, been confined to linear models. Using quarterly data over the period 1970:4-1997:2 in a single-equation money demand system, this article shows that a linear error-correction equation of the demand for UK M0 contains significant non-linearity and parameter non-constancy of smooth transition regression (STR) type. A constant-parameter exponential STR (ESTR) equation is then estimated, suggesting that interest rate changes have been an important factor in explaining fluctuations in the demand for UK M0.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/1350485032000136351&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

    Volume (Year): 10 (2003)
    Issue (Month): 12 ()
    Pages: 769-773

    as
    in new window

    Handle: RePEc:taf:apeclt:v:10:y:2003:i:12:p:769-773
    Contact details of provider: Web page: http://www.tandfonline.com/RAEL20

    Order Information: Web: http://www.tandfonline.com/pricing/journal/RAEL20

    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.:

    as in new window
    1. Eitrheim, Øyvind & Teräsvirta, Timo, 1995. "Testing the Adequacy of Smooth Transition Autoregressive Models," SSE/EFI Working Paper Series in Economics and Finance 56, Stockholm School of Economics.
    2. H. Lütkepohl & T. Teräsvirta & J. Wolters, 1995. "Investigating Stability and Linearity of a German M1 Money Demand Function," SFB 373 Discussion Papers 1995,57, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    3. Khadaroo, Ahmad Jameel, 2000. "Testing Restrictions on Cointegrating Vectors: A Comment," Journal of Macroeconomics, Elsevier, vol. 22(4), pages 695-705, October.
    4. Artis, M J & Lewis, M K, 1984. "How Unstable Is the Demand for Money in the United Kingdom?," Economica, London School of Economics and Political Science, vol. 51(204), pages 473-76, November.
    5. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
    6. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    7. Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244.
    8. Lin, Chien-Fu Jeff & Terasvirta, Timo, 1994. "Testing the constancy of regression parameters against continuous structural change," Journal of Econometrics, Elsevier, vol. 62(2), pages 211-228, June.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:10:y:2003:i:12:p:769-773. 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: (Michael McNulty)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.