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Multiple and pairwise non‐nested tests of the influence of taxes on money demand
Author(s) -
Smith Marlene A.,
Smyth David J.
Publication year - 1991
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.3950060103
Subject(s) - econometrics , pairwise comparison , autoregressive model , economics , sample (material) , embedding , mathematics , statistics , computer science , chemistry , chromatography , artificial intelligence
Abstract The minimal computational requirements of the linear embedding techniques initiated by Davidson and MacKinnon (1981) accommodate multiple and binary tests of autoregressive, non‐nested regression models with different dependent variables. The small sample adjustments of Fisher and McAleer (1981) effectively reduce the size of the P‐tests for our models. Our application to transactions demand for money models supports the Holmes and Smyth (1972) hypothesis that pre‐tax variables are preferred to GNP in M1 money equations.