Demand for money for Fiji with PcGets

Abstract

Methodological controversies on the relative merits of estimating time-series models with alternative approaches exist. However, applied researchers may eventually opt for an easy to use and computationally less demanding approach. This article shows that the LSE/Hendry approach, known as GETS, is promising when it is implemented with PcGets. To illustrate we report the GETS and the Johansen co-integration-based ECM equations, with PcGets, of the demand for money for Fiji.

Symmetric or Asymmetric Interest Rate Adjustments? Evidence from Southeastern Europe

“…Von Cramon‐Taubadel and Loy (1996), Von Cramon‐Taubadel (1998), and Von Cramon‐Taubadel and Meyer (2000) introduced the symmetric/asymmetric error‐correction approach through an ex‐ante disaggregation of data. Within this framework, Bachmeier and Griffin (2003), Rao and Singh (2006), and Rao and Rao (2008), presented an alternative dynamic approach, known as the disaggregated GETS model, originating from the LSE–Hendry GETS methodology. The main advantage of the model is that two different speeds of adjustments, for positive and negative change in the variables included, can simultaneously be estimated.…”

“…Rao and Singh (2006) and Rao and Rao (2008) provide a complete derivation, formulation, and discussion of the specifications of symmetric and asymmetric interest rate adjustment equations. The short‐run dynamic interest rate adjustment equation, with an embedded asymmetry (disaggregated GETS model) and a time trend variable, is a variant of and can take the following form:…”

“…The latter is the error‐correction term of the model. Rao and Singh (2006) and, Rao and Rao (2008) point out that the (+)/(−) superscript on the coefficients in indicate a positive/negative change in the variables included in the model. For any positive change in the independent variable (Δ i W , t > 0), a corresponding response of all positive coefficients ( β + , θ + ), is expected.…”

Is the US demand for money unstable?

“…We then tested that each individual coefficient is the same in both subsamples in rows 3 and 4. (2001) and Rao and Singh (2006). PcGets has selected, for the whole sample period, a parsimonious lag structure for the short run equation with the 2 lagged ECM terms, implied by the FMOLS estimates for the constrained specification in Table 3.…”

On the Choice of Control Variables in the Crime Equation*

“…The GETS methodology has been successfully used in a vast number of applications. Recent examples are: Hendry and Krolzig (2004), Owen and Weatherston (2004), Muelbauer and Nunziata (2004), Rao and Singh (2006), Reade (2007) and Bauwens and Sucarrat (2008). In addition, Johansen (1992), Granger (1997), Campos and Ericsson (1999) and Hendry (2001) have all used this methodology.…”