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Estimation of Polynomial Distributed Lags and Leads with End Point Constraints

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Donald W.K. Andrews
Ray C. Fair

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Abstract

This paper considers the use of the polynomial distributed lag (PDL) technique when the lag length is estimated rather than fixed. We focus on the case where the degree of the polynomial is fixed, the polynomial is constrained to be zero at a certain lag length q, and q is estimated along with the other parameters. We extend the traditional PDL setup by allowing q to be real-valued rather than integer-valued, and we derive the asymptotic covariance matrix of all the parameter estimates, including the estimate of q. The paper also considers the estimation of distributed leads rather than lags, a case that can arise if expectations are assumed to be rational.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0079.

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Date of creation: Oct 1989
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Handle: RePEc:nbr:nberte:0079

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Hendry, David F. & Pagan, Adrian R. & Sargan, J.Denis, 1984. "Dynamic specification," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 18, pages 1023-1100 Elsevier. [Downloadable!] (restricted)
  2. Cumby, Robert E. & Huizinga, John & Obstfeld, Maurice, 1983. "Two-step two-stage least squares estimation in models with rational expectations," Journal of Econometrics, Elsevier, vol. 21(3), pages 333-355, April. [Downloadable!] (restricted)
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  3. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July. [Downloadable!] (restricted)
  4. Andrews, Donald W. K. & Fair, Ray C., 1987. "Inference in Econometric Models with Structural Change," Working Papers 636, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]
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  5. Ray C. Fair, 1989. "Inflationary Expectations and Price Setting Behavior," Cowles Foundation Discussion Papers 923, Cowles Foundation, Yale University. [Downloadable!]
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  6. Pagano, Marcello & Hartley, Michael J., 1981. "On fitting distributed lag models subject to polynomial restrictions," Journal of Econometrics, Elsevier, vol. 16(2), pages 171-198, June. [Downloadable!] (restricted)
  7. Schmidt, Peter, 1973. "On the Difference Between Conditional and Unconditional Asymptotic Distributions of Estimates in Distributed Lag Models with Integer-Valued Parameters," Econometrica, Econometric Society, vol. 41(1), pages 165-69, January. [Downloadable!] (restricted)
  8. Harper, Charles P, 1977. "Testing for the Existence of a Lagged Relationship within Almon's Method," The Review of Economics and Statistics, MIT Press, vol. 59(2), pages 204-10, May. [Downloadable!] (restricted)
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  1. Ray C. Fair, 1989. "Inflationary Expectations and Price Setting Behavior," NBER Working Papers 3102, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Townsend, R.F. & van Zyl, J. & Thirtle, C., 1997. "Assessing the benefits of research expenditures on maize production in South Africa," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 36(4), December. [Downloadable!]
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