Title of article
Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems
Author/Authors
Arai، Yoichi نويسنده , , Yamamoto، Taku نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2000
Pages
-260
From page
261
To page
0
Abstract
This paper employs quarterly data from the whole of Germany to test the stability of M3 demand for money. The methodology is based on an application of the CUSUM and CUSUMSQ in the context of error-correction modeling and cointegration. The results reveal some instability in M3 money demand function.
Keywords
Cointegration , Reduced rank regression , Impulse response
Journal title
Economics Letters
Serial Year
2000
Journal title
Economics Letters
Record number
21870
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