Econometric Specification Analysis — An Application to the Aggregate Demand for Money in the Netherlands

Abstract

Econometric analysis of money market relationships has nowadays its own tradition in applied econometrics. In order to get a flavour of the results that are available, the reader can look at the summary and the list of references given by Fase/Kuné [1974], [1975] and by Laidler [1969]. Among the money market equations, the demand function has received special attention by econometricians, perhaps partly because the specification of a money demand function requires less institutional knowledge than e.g. the specification of a money supply equation. Many of the recent empirical studies in econometrics can be characterized as attempts to statistically verify and test some of the assumptions underlying the econometric model. The demand for money function is not an exception. The recent study by Hendry/Mizon [1978] illustrates how one can ascertain an empirically verified money demand equation.

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