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Dynamic Specification and Linear Transformations of the Autoregressive-Distributed Lag Model

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  • Banerjee, Anindya
  • Galbraith, John W
  • Dolado, Juan

Abstract

The authors show that, interpreted broadly, the error-correction form is a member of a general class of transformations including those of R. A. Bewley (1979) and G. Bardsen (1989), which give numerically equivalent estimates of long-run multipliers. Whereas the advantage of the Bewley form is well known, the authors point out the advantage of the error-correction form in providing readily interpretable estimates of short-run responses to disequilibrium, without the necessity of prior estimates of cointegrating parameters. They then describe briefly methods of calculating approximate standard errors of the long-run multiplier for the autoregressive-distributed lag form and error-correction form, and show their equivalence. Copyright 1990 by Blackwell Publishing Ltd

Suggested Citation

  • Banerjee, Anindya & Galbraith, John W & Dolado, Juan, 1990. "Dynamic Specification and Linear Transformations of the Autoregressive-Distributed Lag Model," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(1), pages 95-104, February.
  • Handle: RePEc:bla:obuest:v:52:y:1990:i:1:p:95-104
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    Cited by:

    1. Kesavan, T. & Aradhyula, Satheesh V. & Johnson, Stanley R., 1992. "Dynamics And Price Volatility In Farm-Retail Livestock Price Relationships," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 17(02), December.
    2. T. Kesavan & Zuhair A. Hassan & Helen H. Jensen & Stanley R. Johnson, 1993. "Dynamics and Long-run Structure in U.S. Meat Demand," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 41(2), pages 139-153, July.
    3. Jose Sanchez-fung, 2005. "Estimating a monetary policy reaction function for the dominican republic," International Economic Journal, Taylor & Francis Journals, vol. 19(4), pages 563-577.
    4. Byrne, David & Kelly, Robert, 2017. "Bank Asset Quality & Monetary Policy Pass-Through," Research Technical Papers 11/RT/17, Central Bank of Ireland.
    5. Muzafar Shah Habibullah & Peter Smith & W. N. W. Azman-Saini, 2006. "Testing liquidity constraints in 10 Asian developing countries: an error-correction model approach," Applied Economics, Taylor & Francis Journals, vol. 38(21), pages 2535-2543.
    6. Kurt Kratena & Michael Wüger, 2012. "Technological Change and Energy Demand in Europe," WIFO Working Papers 427, WIFO.
    7. Allanson, Paul & Petrie, Dennis, 2013. "Longitudinal methods to investigate the role of health determinants in the dynamics of income-related health inequality," Journal of Health Economics, Elsevier, vol. 32(5), pages 922-937.
    8. Menzie David Chinn, 1991. "Beware of econometricians bearing estimates: Policy analysis in a “unit root” world," Journal of Policy Analysis and Management, John Wiley & Sons, Ltd., vol. 10(4), pages 546-567.

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