Cointegration, Error Correction Models and Forecasting:The U.K. Demand for Money

  1. García Ferrer, Antonio
  2. Novales Cinca, Alfonso
Documentos de Trabajo (ICAE)

ISSN: 2341-2356

Year of publication: 1995

Issue: 1

Pages: 1-26

Type: Working paper

More publications in: Documentos de Trabajo (ICAE)


We analyze the ability of recent methods proposed for the specification and estimation of relationships among nonstationary variables, to overcome the traditional instability of empirical money demand functions. We use a 1964-1982 sample for the UK which has been widely used in the literature. The forecasting ability of the resulting model is then compared with that of alternative, reduced form specifications.