On the duality between long-run relations and common trends in the I(1) versus I(2) model: an application to aggregate money holdings
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On the duality between long-run relations and common trends in the I(1) versus I(2) model : an application to aggregate money holdings. / Juselius, Katarina.
I: Econometric Reviews, Bind 13, Nr. 2, 1994, s. 151-179.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - On the duality between long-run relations and common trends in the I(1) versus I(2) model
T2 - an application to aggregate money holdings
AU - Juselius, Katarina
PY - 1994
Y1 - 1994
N2 - Long-run relations and common trends are discussed in terms of the multivariate cointegration model given in the autoregressive and the moving average form. The basic results needed for the analysis of I(1) and 1(2)processes are reviewed and the results applied to Danish monetary data. The test procedures reveal that nominal money stock is essentially I(2). Long-run price homogeneity is supported by the data and imposed on the system. It is found that the bond rate is weakly exogenous for the long-run parameters and therefore act as a driving trend. Using the nonstationarity property of the data, "excess money" is estimated and its effect on the other determinants of the system is investigated. In particular, it is found that "excess money" has no effect on price inflation
AB - Long-run relations and common trends are discussed in terms of the multivariate cointegration model given in the autoregressive and the moving average form. The basic results needed for the analysis of I(1) and 1(2)processes are reviewed and the results applied to Danish monetary data. The test procedures reveal that nominal money stock is essentially I(2). Long-run price homogeneity is supported by the data and imposed on the system. It is found that the bond rate is weakly exogenous for the long-run parameters and therefore act as a driving trend. Using the nonstationarity property of the data, "excess money" is estimated and its effect on the other determinants of the system is investigated. In particular, it is found that "excess money" has no effect on price inflation
U2 - 10.1080/07474939408800282
DO - 10.1080/07474939408800282
M3 - Journal article
VL - 13
SP - 151
EP - 179
JO - Econometric Reviews
JF - Econometric Reviews
SN - 0747-4938
IS - 2
ER -
ID: 157323