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Canadian Money Demand Functions Cointegration¨CRank Stability

Author

Listed:
  • Alfred A. Haug

    (York University, Canada)

Abstract

This paper applies conventional tests (Johansen, 1995) and new tests (Chao and Phillips, 1999) for cointegration to long¨Crun money demand functions using historical Canadian data back to 1872. If cointegration is found, recently proposed tests by Quintos (1998a) for stability of the cointegration rank are carried out. The paper focuses on two spans of data: one span starting in 1872, the other in 1957 or 1968. Annual data are used for the former span, and annual and quarterly data for the latter. The preferred money demand specification involves M1.

Suggested Citation

  • Alfred A. Haug, 2002. "Canadian Money Demand Functions Cointegration¨CRank Stability," Working Papers 2002_10, York University, Department of Economics.
    • Handle: RePEc:yca:wpaper:2002_10
    as

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    File URL: http://dept.econ.yorku.ca/research/workingPapers/working_papers/moneyca.pdf
    File Function: First version, 2002
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    References listed on IDEAS

    as
    1. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
    2. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
    3. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-966, July.
    4. Bordo, Michael D & Jonung, Lars & Siklos, Pierre L, 1997. "Institutional Change and the Velocity of Money: A Century of Evidence," Economic Inquiry, Western Economic Association International, vol. 35(4), pages 710-724, October.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Vector error-correction; unknown change points; long spans of monetary data;
    All these keywords.

    JEL classification:

    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

    Statistics

    Access and download statistics

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