Money demand in developing countries: A dynamic panel approach
Panel estimates of money demand for thirty-six mainly developing economies were compared with similar country by country estimates. The objective is to compare the panel and individual country money demand equations out of sample forecast to see whether the efficiency gains afforded by dynamic panel estimation can improve on the performance of separate country by country money demand estimates. This “to pool” or “not to pool” question has been asked for a number of commodity demand equations, but not for money demand. There are efficiency gains obtained by pooling country data as measured by root mean squared error (RMSE) out of sample forecasts for longer term five-year forecasts, but not necessarily for one and three year ahead forecasting. ^
Akinkunmi, Mustapha Abiodun, "Money demand in developing countries: A dynamic panel approach" (2004). ETD Collection for Fordham University. AAI3125001.