Canadian Money Demand Functions Cointegration¨CRank Stability

Alfred Haug

Working Papers from York University, Department of Economics

Abstract: This paper applies conventional tests (Johansen, 1995) and new tests (Chao and Phillips, 1999) for cointegration to long¨Crun money demand functions using historical Canadian data back to 1872. If cointegration is found, recently proposed tests by Quintos (1998a) for stability of the cointegration rank are carried out. The paper focuses on two spans of data: one span starting in 1872, the other in 1957 or 1968. Annual data are used for the former span, and annual and quarterly data for the latter. The preferred money demand specification involves M1.

Keywords: Vector error-correction; unknown change points; long spans of monetary data (search for similar items in EconPapers)
JEL-codes: C52 E41 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2002-10
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http://dept.econ.yorku.ca/research/workingPapers/working_papers/moneyca.pdf First version, 2002

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Persistent link: https://EconPapers.repec.org/RePEc:yca:wpaper:2002_10

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