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Analyzing the Stability of Demand-for-Money Equations via Bounded-Influence Estimation Techniques

Christopher Baum () and Marilena Furno ()

Journal of Money, Credit and Banking, 1990, vol. 22, issue 4, 465-77

Abstract: A robust estimation technique--bounded-influence instrumental variables--is applied to an error-correction model formulation of a U.S. money-demand equation. The weights generated by bounded-influence instrumental variables are used to diagnose structural instability in the specification of the equations and their error processes. These techniques are shown to be valuable additions to the empirical researchers' toolkit and have been implemented in commonly-used econometric software. Copyright 1990 by Ohio State University Press.

Date: 1990
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