An Econometric Analysis of U.K. Money Demand in 'Monetary Trends in the United States and the United Kingdom' by Milton Friedman and Anna Schwartz.
|Abstract||This paper evaluates an empirical model of U.K. money demand developed by Milton Friedman and Anna J. Schwartz in Monetary Trends in the United States and the United Kingdom. Testing reveals misspecification and, hence, the potential for an improved model. Using recursive procedures on their annual data, the authors obtain a better-fitting, constant, dynamic error-correction (cointegration) model. Results on exogeneity and encompassing imply that ... [truncated at 450 characters in length]|
|Creator||David F Hendry; Neil R Ericsson;|
Optimal Regulatory Lag under Price Cap Regulatio
|Abstract||We present an model of monopoly regulation in which the probability of cost being low rather than high depends on the firm's effort. The regulator chooses price and regulatory lag (i.e., the length of time until the next price review) to maximize welfare subject to an expected break-even constraint for the firm. Between reviews the firm has a finite horizon cost minimization problem. We characterize its solution and the resulting dilemmas for the ... [truncated at 450 characters in length]|
|Creator||Mark Armstrong; Ray Rees; John Vickers;|