Some Comment on Sims' Test for Exogeneity of Money

Saifullah Syed

Working Paper from Economics Department, Queen's University

Abstract: This paper tests for the exogeneity of money using the causality testing procedure of Sims. Sims' findings are extremely sensitive to whether we use seasonally or unseasonally adjusted data. A further test on residual autocorrelation and stationarity of the series show no reason to prefer one data set over the other.

Pages: 22
Date: 1980
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:373

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