Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/70677
標題: Testing linearity in a cointegrating STR model for the money demand function: International evidence from G-7 countries
作者: Lee, C.C.
Chen, P.F.
Chang, C.P.
關鍵字: smooth transition regression
non-linear cointegration
money demand
function
G-7 countries
nonlinear error-correction
united-kingdom
broad money
monetary
trends
stability
m1
regressions
adjustment
dynamics
vectors
期刊/報告no:: Mathematics and Computers in Simulation, Volume 76, Issue 4, Page(s) 293-302.
摘要: The motivation behind this paper is to re-investigate the stability of the long-run money demand function (MDF) in a non linear cointegrating framework for G-7 countries. Previous studies on non-linearity in the MDF are only related to the short-run dynamics and assume that long-run cointegrating relations are linear, which according to economic theory need not be the case. Thus, we really need to focus on the variables in the long-run MDF and their determinants through the adoption of a cointegrating smooth transition regression (CSTR) test developed by [I. Choi, P. Saikkonen, Testing linearity in cointegrating smooth transition regressions, Economet. J. 7 (2004) 341-365]. The reason is due to this model being more general than the traditional STR model in that it may contain several transition functions and has more than a single transition variable. Our evidence demonstrates the existence of a non-linear cointegrating relationship, and as such several transition variables should be of more concern under the non-linear hypothesis. Overall, we propose more possibilities that will bring about the unstable phenomenon of the long-run MDF (c) 2007 IMACS. Published by Elsevier B.V. All rights reserved.
URI: http://hdl.handle.net/11455/70677
ISSN: 0378-4754
文章連結: http://dx.doi.org/10.1016/j.matcom.2006.12.012
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