Xycoon logo
Distributed Lags
Home    Site Map    Site Search    Xycoon College    Free Online Software    
horizontal divider
vertical whitespace

Online Econometrics Textbook - Regression Extensions - Distributed Lags

[Home] [Up] [Assumption Violations] [SUR] [Simultaneity] [Multicollinearity] [Restricted LS] [Distributed Lags]

[Finite DL] [Infinite DL]

Sometimes the econometrician wishes to model the dynamic properties of economic time series data. The distributed lag theory tries to introduce these dynamics, in an intelligent way (i.e. without the loss of many degrees of freedom). The underlying principle can be formulated as

distributed lags

(III.VI-1)

from which it is obvious that it is impossible to estimate an infinite amount of parameters from a finite sample.

In general a distinction is made between finite and infinite distributed lags.

It should be noted that distributed lags can be used for sequential observations as in eq. (III.VI-1) but also for seasonal or periodic data

seasonally distributed lags

(III.VI-2)

where s is the seasonal period (e.g. s = 12 for monthly data).

Of course combinations of sequential and seasonal distributed lags are also possible.

In each case, the distributed lag model should be parsimonious (i.e. the model should explain as much as possible with the smallest number of parameters as possible).

Distinction should also be made between distributed lags in classical econometrics and time series analysis. The reason for this distinction will become clear in the chapters about time series analysis.

vertical whitespace




Home
Up
Assumption Violations
SUR
Simultaneity
Multicollinearity
Restricted LS
Distributed Lags
Finite DL
Infinite DL
horizontal divider
No news at the moment...
horizontal divider

© 2000-2012 All rights reserved. All Photographs (jpg files) are the property of Corel Corporation, Microsoft and their licensors. We acquired a non-transferable license to use these pictures in this website.
The free use of the scientific content in this website is granted for non commercial use only. In any case, the source (url) should always be clearly displayed. Under no circumstances are you allowed to reproduce, copy or redistribute the design, layout, or any content of this website (for commercial use) including any materials contained herein without the express written permission.

Information provided on this web site is provided "AS IS" without warranty of any kind, either express or implied, including, without limitation, warranties of merchantability, fitness for a particular purpose, and noninfringement. We use reasonable efforts to include accurate and timely information and periodically updates the information without notice. However, we make no warranties or representations as to the accuracy or completeness of such information, and it assumes no liability or responsibility for errors or omissions in the content of this web site. Your use of this web site is AT YOUR OWN RISK. Under no circumstances and under no legal theory shall we be liable to you or any other person for any direct, indirect, special, incidental, exemplary, or consequential damages arising from your access to, or use of, this web site.

Contributions and Scientific Research: Prof. Dr. E. Borghers, Prof. Dr. P. Wessa
Please, cite this website when used in publications: Xycoon (or Authors), Statistics - Econometrics - Forecasting (Title), Office for Research Development and Education (Publisher), http://www.xycoon.com/ (URL), (access or printout date).

Comments, Feedback, Bugs, Errors | Privacy Policy Web Awards