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From the help desk: Polynomial distributed lag models

Author

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  • Allen McDowell

    (StataCorp)

Abstract

Polynomial distributed lag models (PDLs) are finite-order distributed lag models with the impulse-response function constrained to lie on a polynomial of known degree. You can estimate the parameters of a PDL directly via constrained ordinary least squares, or you can derive a reduced form of the model via a linear transformation of the structural model, estimate the reduced-form parameters, and recover estimates of the structural parameters via an inverse linear transformation of the reduced-form parameter estimates. This article demonstrates both methods using Stata. Copyright 2004 by StataCorp LP.

Suggested Citation

  • Allen McDowell, 2004. "From the help desk: Polynomial distributed lag models," Stata Journal, StataCorp LP, vol. 4(2), pages 180-189, June.
    • Handle: RePEc:tsj:stataj:v:4:y:2004:i:2:p:180-189
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    References listed on IDEAS

    as
    1. Shiller, Robert J, 1973. "A Distributed Lag Estimator Derived from Smoothness Priors," Econometrica, Econometric Society, vol. 41(4), pages 775-788, July.
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    Cited by:

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    4. Jisun Kim & Tugrul Daim, 2014. "A new approach to measuring time-lags in technology licensing: study of U.S. academic research institutions," The Journal of Technology Transfer, Springer, vol. 39(5), pages 748-773, October.

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