A smooth transition regression equation of the demand for UK MO

A smooth transition regression equation of the demand for UK MO

The econometric analysis of UK M0 has, so far, been confined to linear models. Using quartely data over the period 1970:4-1997:2 in a single-equation money demand system, this article shows that a linear error-correction equation of the demand for UK M0 contains significant non-linearity and paramet...

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Veröffentlicht in:Applied economics letters 2003-10, Vol.10 (12), p.769-774
1. Verfasser: Khadaroo, A J
Format: Artikel
Sprache:eng
Schlagworte:
Applied economics
Demand
Econometrics
Economic analysis
Economic models
Economics
Error
Model testing
Money
United Kingdom
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Zusammenfassung:The econometric analysis of UK M0 has, so far, been confined to linear models. Using quartely data over the period 1970:4-1997:2 in a single-equation money demand system, this article shows that a linear error-correction equation of the demand for UK M0 contains significant non-linearity and parameter non-constancy of smooth transition regression (STR) type. A constant-parameter exponential STR (ESTR) equation is then estimated, suggesting that interest rate changes have been an important factor in explaining fluctuations in the demand for UK M0. Reprinted by permission of Routledge, Taylor and Francis Ltd.
ISSN:1350-4851