From the help desk: Polynomial distributed lag models

Allen McDowell
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Allen McDowell: StataCorp

Stata Journal, 2004, vol. 4, issue 2, pages 180-189

Abstract: Polynomial distributed lag models (PDLs) are finite-order distributed lag models with the impulse-response function constrained to lie on a polynomial of known degree. You can estimate the parameters of a PDL directly via constrained ordinary least squares, or you can derive a reduced form of the model via a linear transformation of the structural model, estimate the reduced-form parameters, and recover estimates of the structural parameters via an inverse linear transformation of the reduced-form parameter estimates. This article demonstrates both methods using Stata. Copyright 2004 by StataCorp LP.

Keywords: polynomial distributed lag; Almon; Lagrangian interpolation polynomials (search for similar items in EconPapers)
Date: 2004
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