An Application of an Error Correction Model with Higher Order Cointegrated Variables to the Demand for Money in Switzerland

Jaya Krishnakumar () and El-Hadji Gueye

Research Papers by the Department of Economics, University of Geneva from Département des Sciences Économiques, Université de Genève

Abstract: This paper applies the maximum likelihood technique to estimate the parameters of a money demand equation for Switzerland in which there are variable integrated of different orders and in particular of order greater than 1. The estimation method developed by the authors has been explained in detail in Krishnakumar and Gueye (1998) which also derives the limiting distributions of the resulting estimators. The procedure was implemented in MATLAB for estimating our empirical model.

Keywords: Unit Roots; Cointegration; Money; Models (search for similar items in EconPapers)
JEL-codes: C32 E41 (search for similar items in EconPapers)
Date: 1998
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Persistent link: http://EconPapers.repec.org/RePEc:gen:geneem:98.04

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