Rational and polynomial lags : The finite connection

Pagan, AR

Rational and polynomial lags : The finite connection

Pagan, AR

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Publisher:: Elsevier Science Publishers B.V.
Publication Type:: Journal Article
Citation:: Journal of Econometrics, 1978, 8 (2), pp. 247 - 254
Issue Date:: 1978-01

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Field	Value	Language
dc.contributor.author	Pagan, AR	en_US
dc.date.issued	1978-01	en_US
dc.identifier.citation	Journal of Econometrics, 1978, 8 (2), pp. 247 - 254	en_US
dc.identifier.issn	0304-4076	en_US
dc.identifier.uri	http://hdl.handle.net/10453/13897
dc.description.abstract	This article demonstrates that, for a finite distributed lag, the polynomial distributed lag (PDL) approximation suggested by Almon is a special case of the rational lag method formalized by Jorgenson. The proof relies upon the fact that the PDL estimator imposes differencing restrictions upon the parameters while rational lag methods impose quasi-differncing restrictions. Because of this relationship, the PDL restrictions are nested inside the rational lag ones, and this provides for a sequence of tests to discriminate between the two. An example is performed and an appendix describes an asymptotically efficient two-step estimator	en_US
dc.publisher	Elsevier Science Publishers B.V.	en_US
dc.relation.ispartof	Journal of Econometrics	en_US
dc.subject.classification	Econometrics	en_US
dc.title	Rational and polynomial lags : The finite connection	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	8	en_US
utslib.for	1403 Econometrics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	false	en_US
pubs.issue	2	en_US
pubs.volume	8	en_US

Abstract:

This article demonstrates that, for a finite distributed lag, the polynomial distributed lag (PDL) approximation suggested by Almon is a special case of the rational lag method formalized by Jorgenson. The proof relies upon the fact that the PDL estimator imposes differencing restrictions upon the parameters while rational lag methods impose quasi-differncing restrictions. Because of this relationship, the PDL restrictions are nested inside the rational lag ones, and this provides for a sequence of tests to discriminate between the two. An example is performed and an appendix describes an asymptotically efficient two-step estimator

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/13897