Arbeitspapier
Limited and full information estimation of the rational expectations demand for the money model: application to Finnish M1
We compare parameter estimates of the intertemporal money-in-the-utility-function model estimated using the Generalized Method of Moments and the Full Information Maximum Likelihood method.The process driving the forcing variables is approximated with vector autoregression.The FIML estimates of the deep parameters are reasonable, although some of them differ from the corresponding GMM estimates.The simulation experiments suggest that the differences are not very big in practice and that they are connected with adjustment costs.The cross-equation restrictions are clearly rejected, as is typical for these kinds of models; exogeneity restrictions are rejected as well.
- ISBN
-
951-686-543-7
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Finland Discussion Papers ; No. 3/1997
- Klassifikation
-
Wirtschaft
- Thema
-
money-in-the-utility-function model
demand for money
narrow money
Generalized Method of Moments
Full Information Maximum Likelihood
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ripatti, Antti
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Finland
- (wo)
-
Helsinki
- (wann)
-
1997
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Ripatti, Antti
- Bank of Finland
Entstanden
- 1997
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