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An error correction model of prices and money
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Albania Albanian authorities analytical framework Chow statistics cointegrating relationships cointegrating vectors Cointegration analysis crisis Current account demand in transition determinants of inflation Domestically financed deficit dummy variable eigenvalue eigenvectors error correction model error correction parameters estimated equations exchange rate depreciation Figure fitted values floating exchange rate Fund staff estimates GDP in billions Heteroscedasticity industrial countries inflation and money interest rate lagged residuals lagged squared residuals Lagrange Multiplier leks log differences maximum likelihood money demand function money demand remained multivariate equivalent nontradables Normality test null hypothesis null order parameter constancy percent of GDP Portmanteau 7 lags Portmanteau statistic Portmanteau tests price and money price level pyramid scheme real activity real exchange rate Real GDP reestimated residual autocorrelation restricted cointegrating Single Equation Tests stability standard errors Table test for residual test statistics tight financial policies transition economies U.S. dollars unit root vector autoregression Vector Portmanteau Weak exogeneity test