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A Divisia Money Demand Analysis for Denmark: An Application of the "Johansen-procedure" for Estimating Multivariate Cointegrated Systems

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  • Lisbeth Funding la Cour

    (Institute of Economics, University of Copenhagen)

Abstract

The paper contains a comparison of the performance of two different monetary aggregates (a simple-sum one and a Divisia index). The econometric framework used is a multivariate VAR-model for non-stationary series, and some features from recently developed techniques for analyzing I(2)-systems will be demonstrated on the systems expressed in nominal terms. The final models based on the real systems are analyzed within the I(1)-model, though.

Suggested Citation

  • Lisbeth Funding la Cour, 1992. "A Divisia Money Demand Analysis for Denmark: An Application of the "Johansen-procedure" for Estimating Multivariate Cointegrated Systems," Discussion Papers 92-01, University of Copenhagen. Department of Economics.
  • Handle: RePEc:kud:kuiedp:9201
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