A multivariate STAR analysis of the relationship between money and output

@inproceedings{Rothman1999AMS,
  title={A multivariate STAR analysis of the relationship between money and output},
  author={Phillip E. Rothman and Dick van Dijk and Philip Hans Franses},
  year={1999}
}
Using a standard 4-variable linear vector error correction model (VECM), we first show that the null hypothesis of linearity can be strongly rejected against the alternative of smooth transition autoregressive nonlinearity. An important result from this stage of the analysis is that the quarterly growth rate of money is identified as the transition variable, the variable which governs the smooth switching between regimes. This implies there is a nonlinear causal relationship between money and… CONTINUE READING

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