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Erschienen in:
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2024 | OriginalPaper | Buchkapitel

6. Distributed Lag Models

verfasst von : Valérie Mignon

Erschienen in: Principles of Econometrics

Verlag: Springer Nature Switzerland

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Abstract

In economics, the present value of the dependent variable often depends on the past values of the explanatory variables. In other words, the influence of the explanatory variables is only exerted after a certain lag. This chapter deals with a particular class of such dynamic models, namely, distributed lag models, which include present and lagged values of explanatory variables. It presents the different types of distributed lag models and their estimation methods. It also describes the autoregressive distributed lag (ARDL) models in which the lagged values of the dependent variable are added to the present and past values of the “usual” explanatory variables in the set of explanatory variables. Various empirical applications are provided to illustrate the different concepts.

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Vorheriges Kapitel Problems with Explanatory Variables: Random Variables, Collinearity, and Instability
Nächstes Kapitel An Introduction to Time Series Models
Fußnoten
1
It is possible to introduce a nuance in the terminology. We generally speak of autoregressive models when only the lagged values of the dependent variable are present as explanatory variables. We speak of autoregressive distributed lag (ARDL) models when the lagged values of the dependent variable are among the explanatory variables in addition to the lagged values of the usual explanatory variables.
 
2
We ignore the error term here to simplify the notations and calculations to follow.
 
3
See classic textbooks on macroeconomics or economic dynamics, for example, Blanchard and Fischer (1989) and Dowrick et al. (2008).
 
4
The concepts of median and mean lags only really make sense if the coefficients are of the same sign.
 
5
It has been assumed here that the constant c is equal to 1 in the expression of the HQ criterion.
 
6
The sums run from 1 to T.
 
7
We will not deal in detail with ARDL models in this book. For a more exhaustive presentation, readers can refer to Greene (2020).
 
8
Note further that the values taken by the AIC criterion for \(h=1\) and \(h=2\) are almost identical.
 
Literatur
Almon, S. (1962), “The Distributed Lag between Capital Appropriations and Expenditures”, Econometrica, 30, pp. 407–423.
Blanchard, O. and S. Fischer (1989), Lectures on Macroeconomics, The MIT Press.
Davidson, R. and J.G. MacKinnon (1993), Estimation and Inference in Econometrics, Oxford University Press.
Dowrick S., Pitchford R. and S.J. Turnovsky (2008), Economic Growth and Macroeconomic Dynamics: Recent Developments in Economic Theory, Cambridge University Press.
Duesenberry, J. (1949), Income, Saving and the Theory of Consumer Behavior, Harvard University Press.
Greene, W. (2020), Econometric Analysis, 8th edition, Pearson.
Griliches, Z. (1967), “Distributed Lags: A Survey”, Econometrica, 36, pp. 16–49.CrossRef
Gujarati, D.N., Porter, D.C. and S. Gunasekar (2017), Basic Econometrics, McGraw Hill.
Jorgenson, D. (1966), “Rational Distributed Lag Functions”, Econometrica, 34, pp. 135–149.CrossRef
Koyck, L.M. (1954), Distributed Lags and Investment Analysis, North-Holland, Amsterdam.
Maddala, G.S. and A.S. Rao (1971), “Maximum Likelihood Estimation of Solow’s and Jorgenson’s Distributed Lag Models”, The Review of Economics and Statistics, 53(1), pp. 80–89.CrossRef
Nerlove, M. (1958), Distributed Lags and Demand Analysis for Agricultural and Other Commodities, Agricultural Handbook 141, US Department of Agriculture.
Sargan, J.D. (1964), “Wages and Prices in the United Kingdom: A Study in Econometric Methodology”, in Hart, P.E., Mills, G. and J.K. Whitaker (eds), Econometric Analysis for National Economic Planning, Butterworths, London.
Solow, R.M. (1960), “On a Family of Lag Distributions”, Econometrica, 28, pp. 393–406.CrossRef
Metadaten
Titel
Distributed Lag Models
verfasst von
Valérie Mignon
Copyright-Jahr
2024
Buch
Principles of Econometrics

Print ISBN: 978-3-031-52534-6

Electronic ISBN: 978-3-031-52535-3

Copyright-Jahr: 2024

DOI
https://doi.org/10.1007/978-3-031-52535-3_6

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