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Demand for Money in the Asian Countries: A Systems GMM Panel Data Approach and Structural Breaks

B. Rao, Artur Tamazian and Prakash Singh

MPRA Paper from University Library of Munich, Germany

Abstract: A systems GMM method is used to estimate the demand for money (M1) for a panel of 11 Asian countries from 1970 to 2007. This method has advantages of which the most important one is its ability to minimise small sample bias with persistence in the variables. This system GMM method of Blundell and Bond (1998) simultaneously estimates specifications with the levels and first differences specifications of the variables. We test for structural stability of the estimated function with a recently developed test, for this approach, by Mancini-Griffoli and Pauwels (2006). Our results show that there is a well defined demand for money for these countries and there are no structural breaks.

Keywords: Systems GMM; Blundell and Bond; Mancini-Griffoli and Pauwels; Asian Countries and Demand for Money and Structural Sta (search for similar items in EconPapers)
JEL-codes: E41 (search for similar items in EconPapers)
Date: 2009-05-05
New Economics Papers: this item is included in nep-mac, nep-mon and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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