From: Money demand under free banking: Switzerland 1851–1906
m t = p t + y t + b1rs t + b2 exp(bb t − y t − p t ) + b3nb t + u1t exp(bb t − y t − p t ) = b4y t + u2t, bb t − p t = b5y t + b6(rm t − rs t ) + u3t, rm t = b7 rs t + u4t. | ||||||||||
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Equation | b 2 | b 3 | b 4 | b 5 | b 6 | b 7 | R2 | DW | Phillips-Ouliaris Test | Hansen Test |
m-p-y | 0.352*** (0.0317) | 0.220** (0.067) | 0.970 | 0.634 | − 4.547** | 0.201 | ||||
exp(bb-y-p) | 1.221*** (0.120) | 0.955 | 0.794 | − 4.020** | 0.234 | |||||
bn | 0.629*** (0.0796) | 130.92*** (28.883) | 0.700 | 0.553 | − 3.327* | 0.219 | ||||
rm | 1.440*** (0.0620) | 0.938 | 0.843 | − 3.874** | 0.244 |