An Econometric Analysis of U.K. Money Demand in 'Monetary Trends in the United States and the United Kingdom' by Milton Friedman and Anna Schwartz.
This paper evaluates an empirical model of U.K. money demand developed by Milton Friedman and Anna J. Schwartz in Monetary Trends in the United States and the United Kingdom. Testing reveals misspecification and, hence, the potential for an improved model. Using recursive procedures on their annual...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
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American Economic Association
1991
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| _version_ | 1797082230883876864 |
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| author | Hendry, D Ericsson, N |
| author_facet | Hendry, D Ericsson, N |
| author_sort | Hendry, D |
| collection | OXFORD |
| description | This paper evaluates an empirical model of U.K. money demand developed by Milton Friedman and Anna J. Schwartz in Monetary Trends in the United States and the United Kingdom. Testing reveals misspecification and, hence, the potential for an improved model. Using recursive procedures on their annual data, the authors obtain a better-fitting, constant, dynamic error-correction (cointegration) model. Results on exogeneity and encompassing imply that the authors' money-demand model is interpretable as a model of money, but not of prices, since its constancy holds only conditionally on contemporaneous prices. |
| first_indexed | 2024-03-07T01:25:09Z |
| format | Journal article |
| id | oxford-uuid:91b76f59-6c68-4a50-87b2-946e605649e3 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T01:25:09Z |
| publishDate | 1991 |
| publisher | American Economic Association |
| record_format | dspace |
| spelling | oxford-uuid:91b76f59-6c68-4a50-87b2-946e605649e32022-03-26T23:20:33ZAn Econometric Analysis of U.K. Money Demand in 'Monetary Trends in the United States and the United Kingdom' by Milton Friedman and Anna Schwartz.Journal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:91b76f59-6c68-4a50-87b2-946e605649e3EnglishDepartment of Economics - ePrintsAmerican Economic Association1991Hendry, DEricsson, NThis paper evaluates an empirical model of U.K. money demand developed by Milton Friedman and Anna J. Schwartz in Monetary Trends in the United States and the United Kingdom. Testing reveals misspecification and, hence, the potential for an improved model. Using recursive procedures on their annual data, the authors obtain a better-fitting, constant, dynamic error-correction (cointegration) model. Results on exogeneity and encompassing imply that the authors' money-demand model is interpretable as a model of money, but not of prices, since its constancy holds only conditionally on contemporaneous prices. |
| spellingShingle | Hendry, D Ericsson, N An Econometric Analysis of U.K. Money Demand in 'Monetary Trends in the United States and the United Kingdom' by Milton Friedman and Anna Schwartz. |
| title | An Econometric Analysis of U.K. Money Demand in 'Monetary Trends in the United States and the United Kingdom' by Milton Friedman and Anna Schwartz. |
| title_full | An Econometric Analysis of U.K. Money Demand in 'Monetary Trends in the United States and the United Kingdom' by Milton Friedman and Anna Schwartz. |
| title_fullStr | An Econometric Analysis of U.K. Money Demand in 'Monetary Trends in the United States and the United Kingdom' by Milton Friedman and Anna Schwartz. |
| title_full_unstemmed | An Econometric Analysis of U.K. Money Demand in 'Monetary Trends in the United States and the United Kingdom' by Milton Friedman and Anna Schwartz. |
| title_short | An Econometric Analysis of U.K. Money Demand in 'Monetary Trends in the United States and the United Kingdom' by Milton Friedman and Anna Schwartz. |
| title_sort | econometric analysis of u k money demand in monetary trends in the united states and the united kingdom by milton friedman and anna schwartz |
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