#1982-003A "A Warning on the Use of the Cochrane-Orcutt Procedure Based on a Money Demand Equation for the United States"
by Jean-Marie Dufour, Marc J. I. Gaudry, and R. W. Hafer


We show that estimates of the elasticity if demand for money in the United States depend crucially on which of the three minima of the residual sum of squares is selected by the Cochrane-Orcutt procedure applied to a model which contains a lagged endogenous variable. More...

PUBLISHED: Empirical Economics, June 1983, 8(2), pp. 111-17