Non‐linear error correction and the UK demand for broad money, 1878–1993
重新审视了英国广义货币需求的误差修正模型，发现平滑转换回归模型比原非线性模型拟合更好，且一个更一般的模型在方差和包容性检验上表现更优。
Abstract In this paper we reconsider an error‐correction model of UK broad money demand by Ericsson, Hendry and Prestwich. Their model is non‐linear in both variables and parameters, and it can be viewed as an approximation to a smooth transition regression (STR) type specification. The corresponding STR model, when specified and estimated, fits the data better than the original model. Adopting a somewhat more general modelling approach leads to another STR model. This model variance dominates the other two, and the encompassing tests performed in this paper indicate that it is an improvement over the other two specifications. Copyright © 2001 John Wiley & Sons, Ltd.