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

• Autores: Antonio García Ferrer, Alfonso Novales Cinca
• Localización: Documento de trabajo: Serie Econometría, Nº. 2, 1995, págs. 1-22
• Idioma: inglés
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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.