The Appropriate Scale Variable in the U.S. Money Demand: An Application of Nonnested Tests of Consumption versus Income Measures

Elyasiani, Elyas; Nasseh, Alireza

doi:10.2307/1391923

Cited by 10 publications

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“…See, for example, Bernanke, Bohn and Reiss (1988) for testing time series investment models and Elyasiani and Nasseh (1994) for testing Mankiw and Summers' (1986) hypothesis about the U.S. money demand function.…”

Section: Nonnested Testing With Serially Correlated Errorsmentioning

confidence: 99%

“…We consider a simulation experiment based on the empirical example studied in Choi and Kiefer (2008) and Elyasiani and Nasseh (1994). These two papers revisited the hypothesis of Mankiw and Summers (1986) that consumption (or personal expenditure) rather than income (gross national product [GNP]) is the right scale variable for money demand (for M 1 or M 2).…”

Section: Nonnested Testing With Serially Correlated Errorsmentioning

confidence: 99%

“…To account for serial correlation in the errors, Elyasiani and Nasseh (1994) applied the Cochrane-Orcutt procedure, while Choi and Kiefer (2008) applied a HAC estimator with …xed-b asymptotics.…”

Section: Nonnested Testing With Serially Correlated Errorsmentioning

confidence: 99%

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MTests with a New Normalization Matrix

Chen

2014

Econometric Reviews

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This paper proposes a new family of M tests building on the work of Kuan and Lee (2006) and Kiefer, Vogelsang and Bunzel (2000). The idea is to replace the asymptotic covariance matrix in conventional M tests with an alternative normalization matrix, constructed using moment functions estimated from (K + 1) recursive subsamples. The new tests are simple to implement. They automatically account for the e¤ect of parameter estimation and allow for conditional heteroskedasticity and serial correlation of general forms. They converge to central F distributions under the …xed-K asymptotics and to Chi-square distributions if K is allowed to approach in…nity. We illustrate their applications using three simulation examples: (1) speci…cation testing for conditional heteroskedastic models, (2) nonnested testing with serially correlated errors, and (3) testing for serial correlation with unknown heteroskedasticity. The results show that the new tests exhibit good size properties with power often comparable to the conventional M tests while being substantially higher than that of Kuan and Lee (2006).

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Section: Nonnested Testing With Serially Correlated Errorsmentioning

confidence: 99%

Section: Nonnested Testing With Serially Correlated Errorsmentioning

confidence: 99%

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MTests with a New Normalization Matrix

Chen

2014

Econometric Reviews

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“…xi Bernanke, Bohn and Reiss (1986) and Elyasiani and Nasseh (1994), among others, use non-nested models to compare some model specifications regarding investment and US money demand, respectively. Elyasiani and Nasseh (2000) xv Note that the sample has been reduced to July 1980 to April 2007 due to 2 missing data for the M4 premiums.…”

Section: A Two-dimensional Approachmentioning

confidence: 99%

Size Matters, Book Value Does Not! The Fama-French Empirical CAPM Revisited

Lambert

Hübner²

2014

SSRN Journal

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The Fama and French factors do not reliably estimate the size and book-to-market effects. Our aim is to demonstrate that these factors have been under-and overestimated, respectively, in the US market. We replaced Fama and French's independent rankings with the conditional ones introduced by Lambert and Hübner (2013), withsome additional modifications designed to improve the sorting procedure. We have been able to highlight a much stronger size effect than has conventionally been documented. As a significant related outcome, the alternative risk factors have been found to deliver less specification errors when used to price passive investment indices. Professor Marie LambertMarie Lambert is Assistant Professor at HEC-Management School of the University of Liège and the BNP Paribas Fortis and Transeo chair in Corporate Finance. Together with her two partners, Marie works on valuation guidelines for European SME transfers and more especially on the price expectation mismatch between business vendors and potential acquirers. She holds a joint Ph.D. in Finance from the Universities of Liège and Luxembourg (2010) on "Hedge Funds and Higher-Order Comoment Equity Risk Premiums". After her Ph.D., Marie was a research fellow (National Research Fund, Luxembourg)

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“…Dutkowsky y Atesoglu (2001) ofrecieron una ecuación de demanda de dinero microfundamentada la cual incluye el consumo (en vez del ingreso) como la variable de escala de mejor comportamiento (además, porque es esta la variable pertinente en el proceso de maximización del agente y sobre la cual tiene algún control). En este mismo sentido, Elyasiani y Nasseh (1994), mediante una aplicación de pruebas no anidadas entre un conjunto de variables de escala (ingreso real, ingreso disponible real, gasto en consumo de no durables, gasto privado en consumo y gasto privado total), concluyeron que las medidas de consumo son las variables apropiadas a incluir en la forma funcional de la demanda de M1 en contra de las medidas de gasto total e ingreso.…”

Section: La Pertinencia Del Modelo Previo: Revisión De La Literatura unclassified

¿Por qué ha crecido tanto la cantidad de dinero? : teoría y evidencia internacional (1975-2002)

Hernández¹,

Jalil-Barney²,

Posada³

2006

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ResumenDos rasgos característicos de muchas economías desarrolladas y en desarrollo de los últimos dos decenios han sido la gran expansión de sus agregados monetarios, por encima del aumento de su ingreso nominal, y la reducción de sus tasas de inflación. Suponiendo que la conjunción de ambos rasgos indica aumentos significativos de la demanda de saldos reales de dinero, en este documento se reporta un intento de estimación de la demanda de saldos reales de moneda doméstica mediante un ejercicio realizado bajo el método denominado "mínimos cuadrados ordinarios dinámicos en panel" para una muestra de 63 países a lo largo del período . De acuerdo con los resultados, los aumentos del gasto en consumo privado, la caída de los diferenciales de inflación con respecto a Estados Unidos y la reducción de la tasa de interés en Estados Unidos (tasa a tres meses sobre Treasure bills) contribuyeron a aumentar la demanda de dinero doméstico en el período mencionado. AbstractTwo traits of many economies both developed and developing over the past two decades have been the great expansion of their monetary aggregates at a rate higher than the increase of their nominal income, and the reduction of their inflation rates. Under the hypothesis that the conjunction o f both characteristics indicate significant increases in the demand for ( real balances of) money, this document reports an estimation of the demand for domestic money by means of an exercise under the "panel dynamic ordinary least squares" method for a sample of 63 countries throughout the period 1975-2002. According to the results three variables have contributed to determine the national demands for domestic money: the household consumption expenditure, the inflation rate differential vis á vis the U. S. inflation rate and the U. S. interest rate (on Treasure Bills-three months). Clasificación JEL: C23, E41Palabras claves: demanda de dinero, consumo, tasa de interés, inflación, panel, cointegración, mínimos cuadrados ordinarios dinámicos. ♣ Borrador para comentarios. Este documento (incluidas sus estimaciones y conclusiones) es de la responsabilidad exclusiva de sus autores y no compromete, por tanto, al Banco de la República, ni a la Gerencia ni a su Junta Directiva.

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The Appropriate Scale Variable in the U.S. Money Demand: An Application of Nonnested Tests of Consumption versus Income Measures

Cited by 10 publications

References 10 publications

MTests with a New Normalization Matrix

MTests with a New Normalization Matrix

Size Matters, Book Value Does Not! The Fama-French Empirical CAPM Revisited

¿Por qué ha crecido tanto la cantidad de dinero? : teoría y evidencia internacional (1975-2002)

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