Aggregate Money Demand Functions

1 Background.- 2 The Development and Failures of the Empirical Literature on the Demand for Money.- 2.1 Some Equilibrium Money Demand Studies.- 2.2 Partial Adjustment Models.- 2.3 Specification Testing - The U.S. Experience.- 2.4 Another Look at U.S. Money Demand.- 3 Identification, Estimation, and Inference in Cointegrated Systems.- 3.1 Nonstationary and the Estimation of Money Demand Models.- 3.2 Nonstationarity in the Money Demand Model: Is There Evidence of Integration or Cointegration?.- 3.3 Identification of Long-Run Parameters from Knowledge of Cointegration Rank.- 3.4 Identifying the Source of Nonstationarity.- 3.5 Estimation and Inference Regarding Long-Run Parameters.- 3.6 Testing Constancy of the Cointegration Space.- 3.7 Conclusion.- 4 A Framework for Structural and Dynamic Analysis in Cointegrated Systems.- 4.1 Identification.- 4.2 Identification in the Structural VECM.- 4.3 Assessing Structural VAR Specifications.- 4.4 Weak Exogeneity in Cointegrated Structural VAR Models.- 4.5 Summary.- 5 A Prototype Economic Model Characterized by Cointegration.- 5.1 Solution of the Rational Expectations Model.- 5.2 The Vector Error Correction Representation.- 5.3 Moving Average (Wold) Representation.- 5.4 Impulse Response Functions.- 5.5 Reduced Model VECM.- 6 Analysis of Three Variable VECM Models Including Demand Functions for Real Balances.- 6.1 The Friedman-Kuttner Challenge.- 6.2 Estimation, Testing, and Analysis.- 6.3 Time Disaggregation.- 6.4 Analysis of Dynamic Responses to Permanent Shocks.- 6.5 Summary.- 7 Higher Dimensional VECM Models with Long-Run Money Demand Functions.- 7.1 Real Balances, Inflation, Real Output and Interest Rates.- 7.2 Real Balances, Output, Short and Long Term Rates.- 7.3 Conclusions.- 8 Combining Term Structure and Fisher Effects.-8.1 Recursive Estimates of Five Variable VECMs.- 8.2 Dynamic Analysis.- 8.3 Summary and Conclusions.- Appendix: Some Extensions of the Goodfriend Errors-In Variables Model.- A.1 Multiple Regressors with