Nonstationary Time Series Analysis and Cointegration

By Colin P. Hargreaves | Go to book overview

A substantive model development of NSA narrow money demand in the United Kingdom illustrates the analytical results. Hendry and Ericsson ( 1991b) SA model of narrow money demand appeared well-specified on existing tests, but was found deficient in the presence of the new NSA model. This result demonstrates the value of the new tests and of the NSA data. It also highlights the importance of statistical agencies providing NSA data even if they already provide SA data, since the latter need not be the appropriate data for empirical economic modeling.


APPENDIX A. THE DATA

Sources. The data sources are: Bank of England Quarterly Bulletin, various issues ( BEQB); Economic Trends Annual Supplement, 1990 Edition, No. 15 (ETAS); Financial Statistics, various issues ( FS); and Monthly Digest of Statistics, various issues ( MDS). The first is a publication of the Bank of England, London; the other three are published by the Central Statistical Office (CSO), Her Majesty's Stationery Office, London. The four-character sequence is the CSO databank series number.

GDP, GDP85, IMP, and IMP85 are from ETAS (Table 3), with minor changes for data revisions from MDS (Table 1.2). M is the M1 series in FS ( January 1989, Supplementary Table S32, Columns 6 [NSA] and 7 [SA]) and BEQB ( November 1989, Table 11.1, Columns 4 [NSA] and 14 [SA]). R3 is from various issues of the BEQB (e.g., May 1989, Table 9.2) and FS (e.g., February 1990, Table 13.14). Rr is zero prior to 1984(3), and as listed in Hendry and Ericsson ( 1991b, Table A.2) thereafter. We are grateful to Stephen Hall at the Bank of England for providing Rr.

All data are quarterly and span 1963(1)-1989(2), unless otherwise noted.

Adjustments. Topping and Bishop ( 1989) document numerous breaks in the series for M1. We account for the four primary breaks in M1, proportionately rescaling data before the break to match the post-break value of M1 for the quarter in which the break occurred. Adjusting the data for these breaks is critical, statistically as well as economically. The breaks range from -1.5% to +6.3%, but <3 + ̂ is only 1.3% in (39) and (41). See also Healeyet al. ( 1990).

Topping and Bishop's breaks are for NSA data, and are reported in Table A2 below. We use the same breaks for SA data, as suggested by Topping and Bishop ( 1989, p. 11).

-214-

Notes for this page

Add a new note
If you are trying to select text to create highlights or citations, remember that you must now click or tap on the first word, and then click or tap on the last word.
One moment ...
Default project is now your active project.
Project items

Items saved from this book

This book has been saved
Highlights (0)
Some of your highlights are legacy items.

Highlights saved before July 30, 2012 will not be displayed on their respective source pages.

You can easily re-create the highlights by opening the book page or article, selecting the text, and clicking “Highlight.”

Citations (0)
Some of your citations are legacy items.

Any citation created before July 30, 2012 will labeled as a “Cited page.” New citations will be saved as cited passages, pages or articles.

We also added the ability to view new citations from your projects or the book or article where you created them.

Notes (0)
Bookmarks (0)

You have no saved items from this book

Project items include:
  • Saved book/article
  • Highlights
  • Quotes/citations
  • Notes
  • Bookmarks
Notes
Cite this page

Cited page

Style
Citations are available only to our active members.
Buy instant access to cite pages or passages in MLA, APA and Chicago citation styles.

(Einhorn, 1992, p. 25)

(Einhorn 25)

1. Lois J. Einhorn, Abraham Lincoln, the Orator: Penetrating the Lincoln Legend (Westport, CT: Greenwood Press, 1992), 25, http://www.questia.com/read/27419298.

Cited page

Bookmark this page
Nonstationary Time Series Analysis and Cointegration
Table of contents

Table of contents

  • Title Page iii
  • Contents v
  • List of Figures vii
  • List of Tables xiii
  • List of Contributors xv
  • Foreword xvii
  • 1 - Introduction 1
  • References 8
  • 2 - Towards a Theory of Economic Forecasting 9
  • Appendix 48
  • References 50
  • 3 - Bayes Models and Forecasts of Australian Macroeconomic Time Series 53
  • References 86
  • 4 - A Review of Methods of Estimating Cointegrating Relationships 87
  • References 129
  • 5 - A Test of the Null Hypothesis of Cointegration 133
  • References 151
  • 6 - Modelling Seasonal Variation 153
  • References 176
  • 7 - Cointegration, Seasonality, Encompassing, and the Demand for Money in the Uk 179
  • Appendix A. the Data 214
  • Appendix B. Sequential Reduction Analysis 216
  • References 220
  • 8 - Evaluating a Real Business Cycle Model 225
  • Appendix 252
  • References 254
  • 9 - Misspecification Versus Bubbles in the Cagan Hyperinflation Model 257
  • References 281
  • 10 Regime Switching with Time-Varying Transition Probabilities 283
  • Appendix 299
  • References 302
  • Name Index 303
  • Subject Index 307
Settings

Settings

Typeface
Text size Smaller Larger Reset View mode
Search within

Search within this book

Look up

Look up a word

  • Dictionary
  • Thesaurus
Please submit a word or phrase above.
Print this page

Print this page

Why can't I print more than one page at a time?

Help
Full screen
/ 310

matching results for page

    Questia reader help

    How to highlight and cite specific passages

    1. Click or tap the first word you want to select.
    2. Click or tap the last word you want to select, and you’ll see everything in between get selected.
    3. You’ll then get a menu of options like creating a highlight or a citation from that passage of text.

    OK, got it!

    Cited passage

    Style
    Citations are available only to our active members.
    Buy instant access to cite pages or passages in MLA, APA and Chicago citation styles.

    "Portraying himself as an honest, ordinary person helped Lincoln identify with his audiences." (Einhorn, 1992, p. 25).

    "Portraying himself as an honest, ordinary person helped Lincoln identify with his audiences." (Einhorn 25)

    "Portraying himself as an honest, ordinary person helped Lincoln identify with his audiences."1

    1. Lois J. Einhorn, Abraham Lincoln, the Orator: Penetrating the Lincoln Legend (Westport, CT: Greenwood Press, 1992), 25, http://www.questia.com/read/27419298.

    Cited passage

    Thanks for trying Questia!

    Please continue trying out our research tools, but please note, full functionality is available only to our active members.

    Your work will be lost once you leave this Web page.

    Buy instant access to save your work.

    Already a member? Log in now.

    Oops!

    An unknown error has occurred. Please click the button below to reload the page. If the problem persists, please try again in a little while.