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Detection of switching cointegration rank allowing for switching lag structure: an application to money-demand function
- Source :
- Applied Economics. May-June, 2008, Vol. 40 Issue 10-12, p1571, 12 p.
- Publication Year :
- 2008
-
Abstract
- A study was conducted to develop a new method for detecting regime switches between cointegration and no-cointegration at unknown times. The method involves the division of time series observations into different segments. Findings indicate that money demand is well described by the proposed method in Canada, Japan, and the United Kingdom.
Details
- Language :
- English
- ISSN :
- 00036846
- Volume :
- 40
- Issue :
- 10-12
- Database :
- Gale General OneFile
- Journal :
- Applied Economics
- Publication Type :
- Periodical
- Accession number :
- edsgcl.184721554