The Estimation of Distributed Lags in Short Panels / Zvi Griliches, Ariel Pakes.

Format:

Book

Author/Creator:

Griliches, Zvi.

Contributor:

National Bureau of Economic Research.

Pakes, Ariel.

Series:

Technical Working Paper Series (National Bureau of Economic Research) no. t0004.

NBER technical working paper series no. t0004

Language:

English

Subjects (All):

Distributed lags (Economics).

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1980.

Cambridge, Mass. : National Bureau of Economic Research, 1980.

Summary:

In this paper, we investigate the problem of estimating distributed lags in short panels. Estimates of the parameter of distributed lag relationships based on single time-series of observations have been usually rather imprecise. The promise of panel data in this context is in the N repetitions of the time that it contains which should allow one to estimate the identified lag parameters with greater precision. On the other hand, panels tend to track their observations only over a relatively short time interval. Thus, some assumptions will have to be made on the contributions of the unobserved presample x?s to the current values of y before any lag parameters can be identified from such data. In this paper we suggest two such assumptions; both of which are, at least in part, testable, and outline appropriate estimation techniques. The first places reasonable restrictions on the relationship between the presample and insample x?s, while the second imposes conventional functional form constraints on the lag coefficients associated with the presample x?s.

Notes:

Print version record

October 1980.