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Stabilitätsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansätze zur Modellierung variierender Regressionskoeffizienten

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  2. Economics, Finance, Business & Management
  3. Credit and Capital Markets – Kredit und Kapital
  4. Vol. 28, Issue 1
  5. pp. 107–133

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Lütkepohl, H., Moryson, M., Wolters, J. Stabilitätsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansätze zur Modellierung variierender Regressionskoeffizienten. Credit and Capital Markets – Kredit und Kapital, 28(1), 107-133. https://doi.org/10.3790/ccm.28.1.107
Lütkepohl, Helmut; Moryson, Martin and Wolters, Jürgen "Stabilitätsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansätze zur Modellierung variierender Regressionskoeffizienten" Credit and Capital Markets – Kredit und Kapital 28.1, 1995, 107-133. https://doi.org/10.3790/ccm.28.1.107
Lütkepohl, Helmut/Moryson, Martin/Wolters, Jürgen (1995): Stabilitätsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansätze zur Modellierung variierender Regressionskoeffizienten, in: Credit and Capital Markets – Kredit und Kapital, vol. 28, iss. 1, 107-133, [online] https://doi.org/10.3790/ccm.28.1.107
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Stabilitätsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansätze zur Modellierung variierender Regressionskoeffizienten

Lütkepohl, Helmut | Moryson, Martin | Wolters, Jürgen

Credit and Capital Markets – Kredit und Kapital, Vol. 28 (1995), Iss. 1 : pp. 107–133

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Article Details

Publisher Name
Duncker & Humblot
DOI
https://doi.org/10.3790/ccm.28.1.107
Language
Multiple languages
Pages
27

Author Details

Helmut Lütkepohl, Berlin

Martin Moryson, Berlin

Jürgen Wolters, Berlin

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Abstract

Stability Analysis of Money Supply in the Federal Republic of Germany on the Basis of Alternative Approaches to Developing Models for Varying Regression Coefficients

This paper includes a description of a number of possibilities for developing models for varying regression coefficients as well as a comparison of such possibilities within the framework of a money demand analysis for money supply Mi in the Federal Republic of Germany in the period 1960 to 1990. Against the background of the current upheavals in Eastern Europe, these procedures are gaining in special relevance. It turns out that the various options for developing models may lead to highly different results regarding possible instabilities of regression relations, but that the use of different procedures may improve diagnosing possibilities, because all procedures suffer from certain weaknesses. It becomes clear in particular that procedures making use of only part of the sample-based information are not necessarily inferior to those approaches that benefit from the whole information at any given estimating moment.

Table of Contents

Section Title Page Action Price
Helmut Lütkepohl/Martin Moryson/Jürgen Wolters: Stabilitätsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansätze zur Modellierung variierender Regressionskoeffizienten 107
I. Einleitung 107
II. Schätzansätze für variierende Koeffizienten 109
1. Rekursive KQ-Schätzung 109
2. Gleitende lokale Regression 110
3. Die flexible KQ-Methode 111
4. Zustandsraummodelle 112
5. Vergleich verschiedener Verfahren und Modelle 114
III. Eine bundesdeutsche Geldnachfragefunktion 115
IV. Abschließende Bemerkungen 119
Literaturverzeichnis 130
Zusammenfassung: Stabilitätsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansätze zur Modellierungvariierender Regressionskoeffizienten 132
Summary: Stability Analysis of Money Supply in the Federal Republic of Germany on the Basis of Alternative Approaches to Developing Modelsfor Varying Regression Coefficients 132
Résumé: Analyse de stabilité de la demande monétaire allemande à l'aide de théories alternatives de modèles de coéfficients variables de régression 132

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