Friedman and Schwartz (1982) Revisited: Assessing Annual and Phase-Average Models of Money Demand in the United Kingdom

Posted: 8 Sep 1998

See all articles by Neil R. Ericsson

Neil R. Ericsson

Board of Governors of the Federal Reserve System

David F. Hendry

University of Oxford - Department of Economics

Kevin M. Prestwich

AMS (American Management Systems, Inc.)

Abstract

Several studies have developed empirical models of U.K. money demand using the century of annual and phase-average data in Friedman and Schwartz (1982). The current paper evaluates key models from those studies, employing tests of constancy and encompassing. The evidence strongly favors an annual model from Ericsson, Hendry, and Prestwich (1998a), whereas models based on the phase-average data fare poorly.

JEL Classification: E41, C52

Suggested Citation

Ericsson, Neil R. and Hendry, David F. and Prestwich, Kevin M., Friedman and Schwartz (1982) Revisited: Assessing Annual and Phase-Average Models of Money Demand in the United Kingdom. Available at SSRN: https://ssrn.com/abstract=123497

Neil R. Ericsson (Contact Author)

Board of Governors of the Federal Reserve System ( email )

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David F. Hendry

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Kevin M. Prestwich

AMS (American Management Systems, Inc.) ( email )

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