| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0079 |
| 来源ID | Technical Working Paper 0079 |
| Estimation of Polynomial Distributed Lags and Leads with End Point Constraints | |
| Donald W.K. Andrews; Ray C. Fair | |
| 发表日期 | 1989-10-01 |
| 出版年 | 1989 |
| 语种 | 英语 |
| 摘要 | This paper considers the use of the polynomial distributed lag (PDL) technique when the lag length is estimated rather than fixed. We focus on the case where the degree of the polynomial is fixed, the polynomial is constrained to be zero at a certain lag length q, and q is estimated along with the other parameters. We extend the traditional PDL setup by allowing q to be real-valued rather than integer-valued, and we derive the asymptotic covariance matrix of all the parameter estimates, including the estimate of q. The paper also considers the estimation of distributed leads rather than lags, a case that can arise if expectations are assumed to be rational. |
| 主题 | Econometrics |
| URL | https://www.nber.org/papers/t0079 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/560408 |
| 推荐引用方式 GB/T 7714 | Donald W.K. Andrews,Ray C. Fair. Estimation of Polynomial Distributed Lags and Leads with End Point Constraints. 1989. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0079.pdf（957KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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