USING SOME NONPARAMETRIC ESTIMATORS OF THE ERROR CORRECTION MODEL TO MEASURE THE EFFECT OF CHANGES IN BANK DEPOSITS ON THE MONEY SUPPLY

Abstract

      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.