Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach
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- William A. Barnett & Marcelle Chauvet & Heather L. R. Tierney, 2011. "Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach," World Scientific Book Chapters, in: Financial Aggregation And Index Number Theory, volume 2, chapter 7, pages 207-249, World Scientific Publishing Co. Pte. Ltd..
- Barnett, William A. & Chauvet, Marcelle & Tierney, Heather L. R., 2009. "Measurement Error In Monetary Aggregates: A Markov Switching Factor Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 13(S2), pages 381-412, September.
- Barnett, William A. & Chauvet, Marcelle & Tierney, Heather L. R., 2007. "Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach," MPRA Paper 10150, University Library of Munich, Germany, revised 06 Aug 2008.
- Barnett, William A. & Chauvet, Marcelle & Tierney, Heather L. R., 2007. "Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach," MPRA Paper 5770, University Library of Munich, Germany.
- William Barnett & Marcelle Chauvet & Heather L. R. Tierney, 2007. "Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200706, University of Kansas, Department of Economics, revised Aug 2008.
References listed on IDEAS
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Citations
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Cited by:
- Barnett, William A. & Erwin Diewert, W. & Zellner, Arnold, 2011.
"Introduction to measurement with theory,"
Journal of Econometrics,
Elsevier, vol. 161(1), pages 1-5, March.
- Barnett, William A. & Diewert, W. Erwin & Zellner, Arnold, 2009. "Introduction To Measurement With Theory," Macroeconomic Dynamics, Cambridge University Press, vol. 13(S2), pages 151-168, September.
- Barnett, William A. & Diewert, W. Erwin & Zellner, Arnold, 2009. "Introduction to Measurement with Theory," MPRA Paper 14868, University Library of Munich, Germany.
- William Barnett & W. Erwin Diewert & Arnold Zellner, 2009. "Introduction to Measurement with Theory," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200906, University of Kansas, Department of Economics, revised Apr 2009.
- Jawadi, Fredj & Sousa, Ricardo M., 2013.
"Money demand in the euro area, the US and the UK: Assessing the role of nonlinearity,"
Economic Modelling,
Elsevier, vol. 32(C), pages 507-515.
- Fredj Jawadi & Ricardo M. Sousa, 2012. "Money Demand in the euro area, the US and the UK:Assessing the Role of Nonlinearity," NIPE Working Papers 22/2012, NIPE - Universidade do Minho.
- Chin-Hong, Puah & Lee-Chea, Hiew, 2010. "Financial Liberalization, Weighted Monetary Aggregates and Money Demand in Indonesia," MPRA Paper 31731, University Library of Munich, Germany.
- Richard G. Anderson & Marcelle Chauvet & Barry Jones, 2015.
"Nonlinear Relationship Between Permanent and Transitory Components of Monetary Aggregates and the Economy,"
Econometric Reviews,
Taylor & Francis Journals, vol. 34(1-2), pages 228-254, February.
- Richard G. Anderson & Barry E. Jones & Marcelle Chauvet, 2013. "Nonlinear relationship between permanent and transitory components of monetary aggregates and the economy," Working Papers 2013-018, Federal Reserve Bank of St. Louis.
- Ryan S. Mattson & Philippe de Peretti, 2014. "Investigating the Role of Real Divisia Money in Persistence-Robust Econometric Models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00984827, HAL.
- Fleissig, Adrian R. & Jones, Barry E., 2015. "The impact of commercial sweeping on the demand for monetary assets during the Great Recession," Journal of Macroeconomics, Elsevier, vol. 45(C), pages 412-422.
- Barnett, William A. & Chauvet, Marcelle, 2008. "The End of the Great Moderation: “We told you so.”," MPRA Paper 11642, University Library of Munich, Germany.
- repec:eee:dyncon:v:96:y:2018:i:c:p:26-41 is not listed on IDEAS
- William A. Barnett & Marcelle Chauvet, 2011.
"International Financial Aggregation and Index Number Theory: A Chronological Half-Century Empirical Overview,"
World Scientific Book Chapters, in: Financial Aggregation And Index Number Theory, chapter 1, pages 1-51,
World Scientific Publishing Co. Pte. Ltd..
- William Barnett & Marcelle Chauvet, 2009. "International Financial Aggregation and Index Number Theory: A Chronological Half-century Empirical Overview," Open Economies Review, Springer, vol. 20(1), pages 1-37, February.
- Barnett, William A. & Chauvet, Marcelle, 2008. "International Financial Aggregation and Index Number Theory: A Chronological Half-Century Empirical Overview," MPRA Paper 10242, University Library of Munich, Germany.
- William Barnett & Marcelle Chauvet, 2008. "International Financial Aggregation and Index Number Theory: A Chronological Half-Century Empirical Overview," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200804, University of Kansas, Department of Economics, revised Sep 2008.
- Barnett, William A. & Chauvet, Marcelle, 2011.
"How better monetary statistics could have signaled the financial crisis,"
Journal of Econometrics,
Elsevier, vol. 161(1), pages 6-23, March.
- William A. Barnett & Marcelle Chauvet, 2010. "How Better Monetary Statistics Could Have Signaled the Financial Crisis," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201005, University of Kansas, Department of Economics, revised Aug 2010.
- Barnett, William A. & Chauvet, Marcelle, 2010. "How better monetary statistics could have signaled the financial crisis," MPRA Paper 24721, University Library of Munich, Germany.
- repec:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-016-2138-z is not listed on IDEAS
- Fredj Jawadi & Ricardo M. Sousa, 2012. "Consumption and Wealth in the US, the UK and the Euro Area:A Nonlinear Investigation," NIPE Working Papers 24/2012, NIPE - Universidade do Minho.
More about this item
Keywords
Measurement Error; Divisia Index; Aggregation; State Space; Markov Switching; Monetary Policy;JEL classification:
- E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2008-11-25 (Central Banking)
- NEP-MAC-2008-11-25 (Macroeconomics)
- NEP-MON-2008-11-25 (Monetary Economics)
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