Rational and polynomial lags : The finite connection

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dc.contributor.author Pagan, AR
dc.date.accessioned 2011-02-07T06:25:49Z
dc.date.issued 1978-01
dc.identifier.citation Journal of Econometrics, 1978, 8 (2), pp. 247 - 254
dc.identifier.issn 0304-4076
dc.identifier.other C1UNSUBMIT 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
dc.format Yes
dc.publisher Elsevier Science Publishers B.V.
dc.title Rational and polynomial lags : The finite connection
dc.type Journal Article
dc.parent Journal of Econometrics
dc.journal.volume 2
dc.journal.volume 8
dc.journal.number 2 en_US
dc.publocation Amsterdam en_US
dc.identifier.startpage 247 en_US
dc.identifier.endpage 254 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 1403 Econometrics
dc.personcode 100844
dc.percentage 100 en_US
dc.classification.name Econometrics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords NA en_US
dc.description.keywords NA
dc.description.keywords NA
dc.description.keywords NA
dc.description.keywords NA
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10


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