Multiple and Pairwise Non-nested Tests of the Influence of Taxes on Money Demand.

The minimal computational requirements of the linear embedding techniques initiated by Davidson and MacKinnon (1981) accomodate 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. Copyright 1991 by John Wiley & Sons, Ltd.