On estimating long-run effects in models with lagged dependent variables
W. Reed () and
Economic Modelling, 2017, vol. 64, issue C, 302-311
A common procedure in economics is to estimate long-run effects from models with lagged dependent variables. For example, macro panel studies frequently are concerned with estimating the long-run impacts of fiscal policy, international aid, or foreign investment.
Keywords: Hurwicz bias; Auto-Regressive Distributed-Lag (ARDL) models; Dynamic Panel Data (DPD) models; DPD estimators; long-run impact; long-run propensity; Fieller’s method; indirect inference; jackknifing (search for similar items in EconPapers)
JEL-codes: C22 C23 (search for similar items in EconPapers)
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Working Paper: On Estimating Long-Run Effects In Models with Lagged Dependent Variables (2016)
Working Paper: On Estimating Long-Run Effects in Models with Lagged Dependent Variables (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:64:y:2017:i:c:p:302-311
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