Testing linearity in a cointegrating STR model for the money demand function: International evidence from G-7 countries

DOI10.1016/j.matcom.2006.12.012zbMath1148.91329MaRDI QIDQ2479432

Pei-Fen Chen, Chien-Chiang Lee, Chun-Ping Chang

Publication date: 26 March 2008

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2006.12.012

zbMATH Keywords

nonlinear cointegration; money demand function; smooth transition regression; G-7 countries

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

91B82: Statistical methods; economic indices and measures

Cites Work

• Unnamed Item
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Statistical analysis of cointegration vectors
• Testing the constancy of regression parameters against continuous structural change
• Stability and non-linear dynamics in the broad demand for money in Spain.
• Residual-based tests for cointegration in models with regime shifts
• Testing linearity in cointegrating smooth transition regressions
• The Demand for M1 in the U.S.A., 1960-1988
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
• COINTEGRATING SMOOTH TRANSITION REGRESSIONS