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Identifying Identical Distributed Lag Structures by the Use of Prior SumConstraints / Benjamin M. Friedman, V. Vance Roley.
- Format:
- Book
- Author/Creator:
- Friedman, Benjamin M.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w0179.
- NBER working paper series no. w0179
- Language:
- English
- Subjects (All):
- Error analysis (Mathematics).
- Least squares.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1977.
- Cambridge, Mass. : National Bureau of Economic Research, 1977.
- Summary:
- 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.
- Notes:
- Print version record
- April 1977.
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