Herwartz, Helmut; Reimers, Hans-Eggert - In: Applied Financial Economics 13 (2003) 1, pp. 71-78
Investigating the German money demand function the paper provides a vector autoregressive model that allows for cointegration at the zero frequency and at the seasonal frequencies. The sample period is 1975:1 to 1995:4 and thus contains the German unification period. Using prediction tests the...