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Identifying Identical Distributed Lag Structures by the Use of Prior SumConstraints

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  • Benjamin M. Friedman
  • V. Vance Roley
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    Abstract

    This paper derives an estimation procedure which, when the same distributed lag appears twice in an equation to be estimated by least-squares regression, identifies all of the relevant coefficients and lag weights and also constrains the two sets of individual lag weights to be identical. The procedure for solving this identification-constraint problem involves prior imposition of a restriction on the lag weight sum -- i.e., it is necessary to impose the sum restriction before estimating the equation. A further useful feature of the derived procedure is that it facilitates conveniently imposing the sum restriction on all of the weights in a distributed lag even if the leading weight is independent of a polynomial restriction imposed on the others.

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    File URL: http://www.nber.org/papers/w0179.pdf
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    Bibliographic Info

    Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 0179.

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    Date of creation: Apr 1977
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    Publication status: published as Benjamin M. Friedman & V. Vance Roles, 1977. "Identifying Identical Distributed Lag Structures By The Use Of Prior Sum Constraints," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 6, number 4, pages 100-116 National Bureau of Economic Research, Inc.
    Handle: RePEc:nbr:nberwo:0179

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    References

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    1. William C. Brainard & James Tobin, 1968. "Pitfalls in Financial Model-Building," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 244, Cowles Foundation for Research in Economics, Yale University.
    2. Modigliani, Franco & Shiller, Robert J, 1973. "Inflation, Rational Expectations and the Term Structure of Interest Rates," Economica, London School of Economics and Political Science, London School of Economics and Political Science, vol. 40(157), pages 12-43, February.
    3. Durbin, J, 1970. "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables," Econometrica, Econometric Society, Econometric Society, vol. 38(3), pages 410-21, May.
    4. Sargent, Thomas J, 1971. "A Note on the 'Accelerationist' Controversy," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 3(3), pages 721-25, August.
    5. Shiller, Robert J, 1973. "A Distributed Lag Estimator Derived from Smoothness Priors," Econometrica, Econometric Society, Econometric Society, vol. 41(4), pages 775-88, July.
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    Cited by:
    1. Benjamin M. Friedman, 1978. "Who Puts the Inflation Premium Into Nominal Interests Rates?," NBER Working Papers 0231, National Bureau of Economic Research, Inc.
    2. Benjamin M. Friedman, 1978. "Price Inflation, Portfolio Choice, and Nominal Interest Rates," NBER Working Papers 0235, National Bureau of Economic Research, Inc.

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