A VECTOR ERROR CORRECTION AND NONNESTED MODELLING OF MONEY DEMAND FUNCTION IN NIGERIA

PROF Godwin Chukwudum Nwaobi ()

Econometrics from EconWPA

Abstract: This paper examines the stability of the demand for money in nigeria. With relatively simple model specifying a vector valued autoregressive process(VAR), the hypothesis of the existence of cointegration vectors is formulated as the hypothesis of reduced rank of the longrun impact matrix. This enabled us to derive estimates and test statistics for the hypothesis of a given number of cointegration vectors. The money demand function was found to be stable and evidence gathered from the non- nested tests suggest that income is the more appropriate scale variable in the estimation of money demand function in nigeria.

Keywords: vector; error; correction; model; cointegration; money; demand; consumption; nonnested; models (search for similar items in EconPapers)
JEL-codes: E41 C22 C32 C50 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mon
Date: 2001-11-30
Note: Type of Document - Acrobat pdf; prepared on IBM PC ; to print on HP; pages: 26 ; figures: included. This is an econometric modelling research work.
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Related works:
Journal Article: A vector error correction and nonnested modeling of money demand function in Nigeria (2002)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0111004

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