Investigating Stability and Linearity of a German M1 Money Demand Function

Helmut Lütkepohl (), Timo Teräsvirta () and Juergen Wolters ()

Journal of Applied Econometrics, 1999, vol. 14, issue 5, pages 511-25

Abstract: Starting from a linear error correction model (ECM) the stability and linearity of a German M1 money demand function are investigated, applying smooth transition regression techniques. Using seasonally unadjusted quarterly data from 1961(1) to 1990(2) it is found that the money demand equation considered is both linear and stable. After extending the sampling period until 1995(4) a clear structural instability due to the monetary unification on 1 July 1990 is found and subsequently modelled. A non-linear specification for the extended period is presented and discussed.

Date: 1999
View citations in EconPapers

Downloads: (external link)
http://qed.econ.queensu.ca:80/jae/1999-v14.5/ Supporting data files and programs (text/html)

Related works:
Working Paper: Investigating Stability and Linearity of a German M1 Money Demand Function (1995)
Working Paper: Investigating Stability and Linearity of a German M1 Money Demand Function
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:jae:japmet:v:14:y:1999:i:5:p:511-25

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

Access Statistics for this article

Journal of Applied Econometrics is edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Series data maintained by Christopher F. Baum ().