Multiple and Pairwise Non-nested Tests of the Influence of Taxes on Money Demand

Marlene A Smith and David J Smyth

Journal of Applied Econometrics, 1991, vol. 6, issue 1, 17-30

Abstract: The minimal computational requirements of the linear embedding techniques initiated by Davidson and MacKinnon (1981) accomodate multiple and binary tests of autoregressive, non-nested regression models with different dependent variables. The small sample adjustments of Fisher and McAleer (1981) effectively reduce the size of the P-tests for our models. Our application to transactions demand for money models supports the Holmes and Smyth (1972) hypothesis that pre-tax variables are preferred to GNP in M1 money equations. Copyright 1991 by John Wiley & Sons, Ltd.

Date: 1991
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