The lag analysis in modelling of relationship of economic time series

The distributed lags models enable the construction of the lag mean, median and variance. The estimators of parameters of the distributed lags models and the autoregressive distributed lags models enable to create the estimators of these basic characteristics. It is obvious that the values of estimators depend on the form of the time series transformation. The methodology of selection of suitable transformation of time series is based on the principle of maximization of the likelihood function. The computation of basic characteristics of the lags in the econometric model is illustrated on the example of the analysis of relationship between the interest rates on new granted credits and 1R PRIBOR. This analysis revealed some changes in character of dependency of time series and changes of values of estimators of basic lag characteristics in the period since 1993. In this connection the recursive analysis gave valuable information.