USING SOME NONPARAMETRIC ESTIMATORS OF THE ERROR CORRECTION MODEL TO MEASURE THE EFFECT OF CHANGES IN BANK DEPOSITS ON THE MONEY SUPPLY
Cubic Spline
Engle and Granger. Cointegration
Phlilips Perron
Local polynomial
ECM.
In this paper, the effect of changes in bank deposits on the money supply in Iraq was studied by estimating the error correction model (ECM) for monthly time series data for the period (2010-2015) . The Philips Perron was used to test the stationarity and also we used Engle and Granger to test the cointegration . we used cubic spline and local polynomial estimator to estimate regression function .The result show that local polynomial was better than cubic spline with the first level of cointegration.
