Lagged Dependent Variables Distributed Lags and Autoregressive Residuals

David Pollock ()

Annals of Economics and Statistics, 1992, issue 28, 143-164

Abstract: Whenever the specification of a dynamic regression relationship is in doubt, we should think of adopting a rational transfer-function model with separate parameters in the systematic part and the disturbance part. Some of the models which are commonly used in applied econometrics can give rise to very misleading estimates when the two parts of the true regression relationship have different dynamic properties.

Date: 1992
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