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

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

Argitalpen urtea: 1995

Zenbakia: 2

Orrialdeak: 1-22

Mota: Laneko dokumentua

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Laburpena

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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