The Stability of the M2 Demand Function: Evidence from an Error-Correction Model

What Fisher knew about his relation, we sometimes forget

“…We follow Mehra (1993) who uses an error correction method to tackle a similar problem for the joint estimation of the long-and shortrun money demand function. While our long run Fisher equation is…”

Money demand in an open-economy shopping-time model: an out-of-sample-prediction application to Canada

“…This paper uses error-correction models to make predictions. The error-correction model is widely used in the literature [e.g., Baum and Furno (1990), Hueng (1998), Miller (1991, and Mehra (1993)] because it not only shows the short-run dynamics of the variables but also takes into account the long-run relations among the variables.…”

“…The traditional closed-economy money demand function [e.g., Goldfeld (1973Goldfeld ( , 1976 and Judd and Scadding (1982)] and the open-economy money demand function [e.g., Arango and Nadiri (1981) and Hueng (1998) where y t is aggregate real GDP at 1986 prices, m' t is aggregate real M1, and 8's are the normalized cointegrating coefficients, which are to be estimated by the Engle-Granger two-step estimations. The closedeconomy error-correction model has been used in Baum andFurno (1990), Miller (1991), and Mehra (1993).…”

Dynamic Analysis of Money Demand Function in Turkey

“…However most of this literature depends on a stable and linear money demand function. Some of these reputable references are Chow (1966), Laidler (1985Laidler ( , 1977, Lucas (1988), Hoffman and Rasche (1991), Miller (1991), Baba et al (1992), Kallon, (1992) Stock and Watson (1993), Mehra (1993), Miyao (1996), Choi et al (1998), Ahmet and Munirs (2000), Ball (2001), Anderson and Rasche (2001), Sriram (2001), Nell (2003), Handa (2009) and Drama and Yao (2010). Additions to these studies, recently the dynamic money demand function have been estimated for both country groups and individuals by many notable references: Adam (1992), Bae and De jong (2007), Baba et al (2013), Terasvirta and Eliasson (2001), Chen and Wu (2005), Phillips (1999, 2001), Chang et al (2001), De Jong (2002 and Asuamah et al (2012).…”