Lagged Dependent Variables Distributed Lags and Autoregressive Residuals

Whenever the specification of a dynamic regression relationship is in doubt, we should think of adopting a rational transfer-function model with separate parameters in the systematic part and the disturbance part. Some of the models which are commonly used in applied econometrics can give rise to very misleading estimates when the two parts of the true regression relationship have different dynamic properties.

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Year of publication:	1992
Authors:	POLLOCK, Stephen
Published in:	Annales d'Economie et de Statistique. - École Nationale de la Statistique et de l'Admnistration Économique (ENSAE). - 1992, 28, p. 143-164
Publisher:	École Nationale de la Statistique et de l'Admnistration Économique (ENSAE)

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005066019