| Abstract: | This paper examines the stability of the demand for money in Nigeria. With a relatively simple model specifying a vector valued autoregressive process (VAR), the hypothesis of the existence of cointegration vectors was formulated as the hypothesis of reduced rank of the long-run impact matrix. This enabled the author to derive estimates and test statistics for the hypothesis of a given number of cointegration vectors. The money demand function was found to be stable. Evidence gathered from non-nested tests suggests that income is the more appropriate scale variable in the estimation of money demand function in Nigeria. App., bibliogr., sum. [Journal abstract] |
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