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Time Series Properties of Variables in the Money Demand Function in Pakistan
Indian Economic Review
New Series, Vol. 29, No. 2 (July-December 1994), pp. 195-210
Stable URL: http://www.jstor.org/stable/29793705
Page Count: 16
You can always find the topics here!Topics: Money demand, Time series, Economic inflation, Roots of functions, Consumer Price Index, Interest, Econometrics, Real output, Economic development
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This paper examines the time series properties of variables in the money demand function in Pakistan for 1951-91. The Dickey-Fuller test results suggest that real money balances (narrow or broad), real output, the yield on government bonds, and the market call rate of interest have a unit root, but the inflation rate does not have a unit root. In contrast, the Perron test results suggest that, when the 1971 break up of the country or the 1973 oil shock is taken into account, the null hypothesis of a unit root in the time series of real money balances (narrow or broad), real output (only for the 1971 event), inflation, and the market call rate of interest can be rejected by the Dickey-Fuller test.
Indian Economic Review © 1994 Department of Economics, Delhi School of Economics, University of Delhi