The ARAR Error Model for Univariate Time Series and Distributed Lag

We show that the use of prior information derived from former empirical findings and/or subject matter theory regarding the lag structure of the observable variables together with an AR process for the error terms can produce univariate and single equation models that are intuitively appealing, simple to implement and work well in practice.

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Year of publication:	2004
Authors:	Carter, Richard ; Zellner, Arnold
Published in:	Studies in Nonlinear Dynamics & Econometrics. - Berkeley Electronic Press. - Vol. 8.2004, 1, p. 1132-1132
Publisher:	Berkeley Electronic Press
Subject:	time series analysis \| model formulation \| model choice \| Bayesian inference

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

Persistent link: https://www.econbiz.de/10005584872