Year: 2001
Type: article
Abstract: In this paper we reconsider an error‐correction model of UK broad money demand by Ericsson, Hendry and Prestwich. Their model is non‐linear in both variables and parameters, and it can be viewed as an approximation to a smooth transition regression (STR) type specification. The corresponding STR model, when specified and estimated, fits the data better than the original model. Adopting a somewhat more general modelling approach leads to another STR model. This model variance dominates the other two, and the encompassing tests performed in this paper indicate that it is an improvement over the other two specifications. Copyright © 2001 John Wiley & Sons, Ltd.
Source: Journal of Applied Econometrics
DOI: 10.1002/jae.611
Authors: Timo Teräsvirta, Ann‐Charlotte Eliasson
Institution: Stockholm School of Economics
Language: English
Domain: Social Sciences
Open Access status: bronze
Funder: Vetenskapsrådet
OpenAlex ID: W2048830648