Nonlinear error-correction and the UK demand for broad money, 1878-1993
Timo Teräsvirta () and
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Ann-Charlotte Eliasson: Dept. of Economic Statistics, Stockholm School of Economics, Postal: P.O. Box 6501, SE-113 83 Stockholm, Sweden
No 265, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics
This paper reconsiders a nonlinear error-correction model of UK broad money demand by Ericsson, Hendry and Prestwich. Their model can be viewed as an approximation to a smooth transition regression (STR) type specification. The corresponding STR model, when estimated, turns out to encompass the previous model. Adopting a somewhat more general modelling approach leads to another STR model. This model variance dominates the other two but does not encompass them. Nevertheless, it fits better than the other models in the eventful 1970s and 1980s.
Keywords: Dynamic model; econometric model building; encompassing; parameter constancy; smooth transition regression. (search for similar items in EconPapers)
JEL-codes: C52 E41 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mon
Date: 1998-10-07, Revised 1998-11-30
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Published in Journal of Applied Econometrics, 2001, pages 277-288.
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Journal Article: Non-linear error correction and the UK demand for broad money, 1878-1993 (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0265
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