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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Standard

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

Harvard

Juselius, K 1994, 'On the duality between long-run relations and common trends in the I(1) versus I(2) model: an application to aggregate money holdings', Econometric Reviews, bind 13, nr. 2, s. 151-179. https://doi.org/10.1080/07474939408800282

APA

Juselius, K. (1994). On the duality between long-run relations and common trends in the I(1) versus I(2) model: an application to aggregate money holdings. Econometric Reviews, 13(2), 151-179. https://doi.org/10.1080/07474939408800282

Vancouver

Juselius K. On the duality between long-run relations and common trends in the I(1) versus I(2) model: an application to aggregate money holdings. Econometric Reviews. 1994;13(2):151-179. https://doi.org/10.1080/07474939408800282

Author

Juselius, Katarina. / On the duality between long-run relations and common trends in the I(1) versus I(2) model : an application to aggregate money holdings. I: Econometric Reviews. 1994 ; Bind 13, Nr. 2. s. 151-179.

Bibtex

@article{cb968eb074c611dbbee902004c4f4f50,
title = "On the duality between long-run relations and common trends in the I(1) versus I(2) model: an application to aggregate money holdings",
abstract = "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",
author = "Katarina Juselius",
year = "1994",
doi = "10.1080/07474939408800282",
language = "English",
volume = "13",
pages = "151--179",
journal = "Econometric Reviews",
issn = "0747-4938",
publisher = "Taylor & Francis",
number = "2",

}

RIS

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