A Divisia Money Demand Analysis for Denmark: An Application of the "Johansen-procedure" for Estimating Multivariate Cointegrated Systems

Lisbeth la Cour ()

No 92-01, Discussion Papers from University of Copenhagen. Department of Economics

Abstract: The paper contains a comparison of the performance of two different monetary aggregates (a simple-sum one and a Divisia index). The econometric framework used is a multivariate VAR-model for non-stationary series, and some features from recently developed techniques for analyzing I(2)-systems will be demonstrated on the systems expressed in nominal terms. The final models based on the real systems are analyzed within the I(1)-model, though.

Pages: 54 pages
Date: 1992-01
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Persistent link: https://EconPapers.repec.org/RePEc:kud:kuiedp:9201

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