Cointegration, error correction models and forecasting the U.K demand for money

  1. García Ferrer, Antonio
  2. Novales Cinca, Alfonso
Revista:
Documento de trabajo: Serie Econometría

Año de publicación: 1995

Número: 2

Páginas: 1-22

Tipo: Documento de Trabajo

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Resumen

We analyze in this paper the ability of recent methodologial developments for nonstationary variables, to overcome the traditional instability of money demand functions. We use a popular UK sample for 1964-82 to specify and estimate an error correction model, whose forecasting ability is then compared with that of alternative, reduced form specifications.

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