Revisiting the US money demand function: an application of the Lagrange multiplier structural break unit root test and the bounds test for a long-run relationship

Narayan, Paresh Kumar 2008, Revisiting the US money demand function: an application of the Lagrange multiplier structural break unit root test and the bounds test for a long-run relationship, Applied economics, vol. 40, no. 7, pp. 897-904.

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Title Revisiting the US money demand function: an application of the Lagrange multiplier structural break unit root test and the bounds test for a long-run relationship
Author(s) Narayan, Paresh Kumar
Journal name Applied economics
Volume number 40
Issue number 7
Start page 897
End page 904
Publisher Routledge
Place of publication London, England
Publication date 2008-04
ISSN 0003-6846
1466-4283
Summary In this article, we examine the issue of a levels relationship and stability of the US money demand function over the period 1959:01 to 2004:02. We use the Lagrange multiplier structural break unit root test and the bounds testing approach to a long-run relationship in levels of the variables, namely real money demand, nominal interest rate and real income. We find greater evidence for a long-run relationship in levels and stability of the US money demand function when we use M2 as a proxy for money demand. However, we find little evidence for a long-run relationship between M1 and M2 with their determinants for the recent period, spanning the last decade or so.
Language eng
Field of Research 140305 Time-Series Analysis
HERDC Research category C1 Refereed article in a scholarly journal
HERDC collection year 2008
Copyright notice ©2008, Taylor & Francis
Persistent URL http://hdl.handle.net/10536/DRO/DU:30017254

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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