Fractional cointegration and the demand for M1 / by Greg Tkacz.: FB3-2/100-13E-PDF
This paper extends the long-run analysis of money demand into the sphere of fractional cointegration. This extension is motivated by the fact that traditional methods of cointegration analysis yield relationships that are not as stationary as they are believed to be. Our results demonstrate that money gaps arising from simple money-demand systems are at best fractionally integrated, and at worst random walks.--Conclusion
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| Title | Fractional cointegration and the demand for M1 / by Greg Tkacz. |
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| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
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| Other formats | Physical text-[English] |
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| Description | 32p.graphs, references, tables |
| ISSN | 1701-9397 |
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