The ARAR error model for univariate time series and distributed lag models

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:	2002
Authors:	Carter, R. A. L. ; Zellner, A.
Publisher:	London (Ontario) : The University of Western Ontario, Department of Economics

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Series:	Research Report ; 2002-5
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Research Report
Language:	English
Other identifiers:	354830228 [GVK] hdl:10419/70413 [Handle] RePEc:uwo:uwowop:20025 [RePEc]
Classification:	C11 - Bayesian Analysis ; C22 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010292030