Breaks in the UK Household Sector Money Demand Function

Rakesh Bissoondeeal, Michail Karoglou and Andy Mullineux

Manchester School, 2014, vol. 82, 47-68

Abstract: type="main">

We use non-parametric procedures to identify breaks in the underlying series of UK household sector money demand functions. Money demand functions are estimated using cointegration techniques and by employing both the S imple S um and D ivisia measures of money. P-star models are also estimated for out-of-sample inflation forecasting. Our findings suggest that the presence of breaks affects both the estimation of cointegrated money demand functions and the inflation forecasts. P-star forecast models based on D ivisia measures appear more accurate at longer horizons and the majority of models with fundamentals perform better than a random walk model.

Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1111/manc.12043 (text/html)
Access to full text is restricted to subscribers.

Related works:
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: https://EconPapers.repec.org/RePEc:bla:manchs:v:82:y:2014:i::p:47-68

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1463-6786

Access Statistics for this article

Manchester School is currently edited by Keith Blackburn

More articles in Manchester School from University of Manchester Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().