A warning on the use of the Cochrane-Orcutt procedure based on a money demand equation for the United States
We show that estimates of the elasticity if demand for money in the United States depend crucially on which of the three minima of the residual sum of squares is selected by the Cochrane-Orcutt procedure applied to a model which contains a lagged endogenous variable. The model constitutes the first real example of multiple minima obtainable by the Cochrane-Orcutt procedure -- with or without a lagged endogenous variable -- and is used to caution against routine use of this procedure.
|Date of creation:||1982|
|Publication status:||Published in Empirical Economics, June 1983, 8(2), pp. 111-17|
|Contact details of provider:|| Postal: P.O. Box 442, St. Louis, MO 63166|
Web page: http://www.stlouisfed.org/
More information through EDIRC
|Order Information:|| Email: |
When requesting a correction, please mention this item's handle: RePEc:fip:fedlwp:1982-003. 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: (Anna Xiao)
If references are entirely missing, you can add them using this form.