SSE/EFI Working Paper Series in Economics and Finance
No 265:
Nonlinear error-correction and the UK demand for broad money, 1878-1993
Timo Teräsvirta ()
and Ann-Charlotte Eliasson
Abstract: This paper reconsiders a nonlinear error-correction model
of UK broad money demand by Ericsson, Hendry and Prestwich. Their model can
be viewed as an approximation to a smooth transition regression (STR) type
specification. The corresponding STR model, when estimated, turns out to
encompass the previous model. Adopting a somewhat more general modelling
approach leads to another STR model. This model variance dominates the
other two but does not encompass them. Nevertheless, it fits better than
the other models in the eventful 1970s and 1980s.
Keywords: Dynamic model; econometric model building; encompassing; parameter constancy; smooth transition regression.; (follow links to similar papers)
JEL-Codes: C52; E41; (follow links to similar papers)
27 pages, October 7, 1998, Revised November 30, 1998
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- This paper is published as:
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Teräsvirta, Timo and Ann-Charlotte Eliasson, (2001), 'Nonlinear error-correction and the UK demand for broad money, 1878-1993', Journal of Applied Econometrics, Vol. 16, pages 277-288
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