By Dennis L. Hoffman
The econometric outcomes of nonstationary info have vast ranging im plications for empirical examine in economics. particularly, those matters have implications for the examine of empirical kin resembling a cash call for func tion that hyperlinks macroeconomic aggregates: actual funds balances, genuine source of revenue and a nominal rate of interest. conventional financial concept predicts that those nonsta tionary sequence shape a cointegrating relation and hence, that the dynamics of a vector method constituted of those variables generates precise styles. Re cent econometric advancements designed to deal with nonstationarities have replaced the process empirical examine within the quarter, yet many primary demanding situations, for instance the problem of id, stay. This booklet represents the efforts undertaken by means of the authors lately as a way to confirm the results that nonstationarity has for the learn of combination funds call for kinfolk. now we have introduced jointly an empirical technique that we discover priceless in undertaking empirical learn. the various paintings was once undertaken throughout the authors' sabbatical classes and we want to recognize the beneficiant aid of Arizona kingdom collage and Michigan nation college respectively. Professor Hoffman needs to recognize the aid of the Fulbright-Hays beginning that supported sabbattical study in Europe and separate aid of the Council of a hundred summer time study software at Arizona country University.
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Extra info for Aggregate Money Demand Functions: Empirical Applications in Cointegrated Systems
Statistical evidence in support of a cointegrating relation validates this body of theoretical literature and paves the way for further investigation of the dynamics and forecasting properties of a system anchored by a long-run money demand relation. Absence of cointegration poses a serious challenge to this literature. The question is clearly relevant for an improved understanding of relations among macro aggregates and, given the weight of the theoretical literature, empiricists rejecting the notion may be compelled to provide explanations for the observed instabilities.
Two obvious explanations come to mind. Either fundamental changes in institutional or agent behavior have induced instability or the statistical tests designed to detect cointegration have failed to deliver accurate inference. Considerable effort has been put forth in recent years to develop tests for cointegration that yield improved inference under general deterministic trend specifications that may characterize aggregate money demand relations. 2 Nonstationarity in the Money Demand Model: Is There Evidence of Integration or Cointegration?
The discussion is aimed at those readers wishing to acquaint themselves with an econometric approach for empirical analysis of models characterized by integrated and cointegrated variables. In later chapters the techniques are illustrated with applications that pertain to a long-run money demand relation, but the methodology may be applied in a number of areas. Chapter 3 begins by providing background on nonstationarity and the implications that unit roots have for estimation of a stable long-run money demand function.