The distribution of a functional of two correlated vector-Brownian motions is approximated by a Gamma distribution. This functional represents the limiting distribution for cointegration tests with stationary exogenous regressors, but also for cointegration tests based on a non-Gaussian...

In this paper an empirically stable money demand model for M3 in Germany is presented. The sample period 1975-94 includes German unification. It is shown that this development has not substantially destabilized money demand. Parameter stability is extensively tested and not rejected. Applying...

UK inflation has varied greatly in response to many economic policy and exchange-rate regime shifts, two world wars and two oil crises, as well as legislative and technological changes. Inflation is modelled as responding to excess demands from all sectors of the economy: goods and services,...