Identifying Identical Distributed Lag Structures by the Use of Prior SumConstraints

Benjamin M. Friedman and V. Vance Roley

No 179, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper derives an estimation procedure which, when the same distributed lag appears twice in an equation to be estimated by least-squares regression, identifies all of the relevant coefficients and lag weights and also constrains the two sets of individual lag weights to be identical. The procedure for solving this identification-constraint problem involves prior imposition of a restriction on the lag weight sum -- i.e., it is necessary to impose the sum restriction before estimating the equation. A further useful feature of the derived procedure is that it facilitates conveniently imposing the sum restriction on all of the weights in a distributed lag even if the leading weight is independent of a polynomial restriction imposed on the others.

Date: 1977-04
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Published as Benjamin M. Friedman & V. Vance Roles, 1977. "Identifying Identical Distributed Lag Structures By The Use Of Prior Sum Constraints," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 6, number 4, pages 100-116 National Bureau of Economic Research, Inc.
Published as Friedman, Benjamin M. and Roley, Vance V. "Identifying Identical Distributed Lag Structures by the Use of Prior Sum Constraints." Annals of Economic and Social Measurement, Vol. VI, No. 4, (Fall 1977), pp. 429-444.

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