 Long-run Relations in Australian Monetary DataNo 91-18, Discussion Papers from University of Copenhagen. Department of Economics Abstract: In this paper we address the question of how to derive a statistically well-defined empirical model and the closely related question of how to choose the observational variables. Since the data are nonstationary, the derived empirical model is based on the multivariate cointegration model. The autoregressive and the moving average form of this model are discussed in terms of long run relations and common trends driving the system with reference to Australian money demand data. The importance of correct specification of linear trends in the model is demonstrated. The testing of structural hypotheses is found to greatly facilitate the interpretation of the two-dimensional cointegration space and finally leads to a formulation of two cointegration relations which can be interpreted as reasonable proxies for "excess money" and "excess aggregate demand" respectively. For the money relation long run price and income homogeneity is tested and accepted. Keywords: domestic monetary theory; Australia (search for similar items in EconPapers) Published in: C. P. Hargreaves, ed., Macroeconomic modelling of the long-run. Elgar, 1992, pp 249-285 There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:kud:kuiedp:9118 Access Statistics for this paper More papers in Discussion Papers from University of Copenhagen. Department of Economics Oester Farimagsgade 5, Building 26, DK-1353 Copenhagen K., Denmark. Contact information at EDIRC. |
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