The Finnish demand for money revisited: an application of Box-Tiao cointegration analysis and bootstrap tests

Abstract

The Johansen and Juselius (1990) data on the money demand in Finland are re-examined through the Box-Tiao (1977) canonical correlation procedure, and the existence of stationary cointegrating vectors tested through the bootstrap. The conclusions reached are that (1) the Johansen and Juselius results are remarkably confirmed, and (2) the bootstrap proves to be a valuable tool, enabling robust and simple cointegration tests to be carried out as non-stationarity tests on the estimated cointegrating relationships.