FM-OLS and Hansen Stability Test, from K. Carstensen

[TomM]

Kai Carstensen from the IFW in Kiel sent us the procedures and example program for his article "Stock Market Downswing and the Stability of European Monetary Union Money Demand", Journal of Business & Economic Statistics 2006 (October) 395-402.

The main procedure implements Fully Modified OLS and tests for parameter stability as outlined by Hansen (1992).

To download a Zip file containing the example program, data files, and procedures, click on the link below:

www.estima.com/procs/CarstensenJBES2006.zip

Regards,
Tom Maycock