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

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

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

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Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 52 (1990)
Issue (Month): 1 (February)
Pages: 95-104

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Handle: RePEc:bla:obuest:v:52:y:1990:i:1:p:95-104
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