The ARAR Error Model for Univariate Time Series and Distributed Lag Models

R. A. L. Carter and Arnold Zellner ()
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R. A. L. Carter: University of Western Ontario and University of Calgary

No 20025, UWO Department of Economics Working Papers from University of Western Ontario, Department of Economics

Abstract: We show that the use of prior information derived from former empirical findings and/or subject matter theory regarding the lag structure of the observable variables together with an AR process for the error terms can produce univariate and single equation models that are intuitively appealing, simple to implement, and work well in practice.

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Date: 2002
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