This paper presents a methodological analysis of the available macroeconomic data for the Russian transitional economy. Using David Hendry's methodology of general to specific modeling, a model is developed that is congruent with the Russian money demand data and also consistent with money demand theory. Specifically, a money demand relationship is found between the M2 aggregate and the rates of return on the short term government securities, the GKO's. The primary objective of this paper is to estimate the parameters for a money demand function for the period of Russian monetary history from 1995:5 to 1999:6, i.e., from the beginning of the monetary stabilization through the collapse of the ruble. Finally, I conduct weak exogeneity tests on the determinants of Russian money demand to examine the validity of estimating a conditional single equation money demand function.