Advertisement

Distributed Lags

  • Thomas B. Fomby
  • Stanley R. Johnson
  • R. Carter Hill

Abstract

Economic data are generated by systems of economic relations that are dynamic, stochastic, and simultaneous. In this chapter we consider dynamic aspects of single equation models. Distributed lag models are those that contain independent variables that are observed at different points in time. They are motivated by the fact that effects of changes in an independent variable are not always completely exhausted within one time period but are “distributed ” over several, and perhaps many, future periods. These lagged effects may arise from habit persistence, institutional or technological constraints. They may also be the consequence of how individual decision maker’s expectations are linked with experience. For more extensive justification of dynamic models see Cagan (1956), Nerlove (1956), and Muth (1961)

Keywords

American Statistical Association Polynomial Degree International Economic Review Single Equation Model Partial Adjustment Model 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Almon, S. (1965). The distributed lag between capital appropriations and expenditures. Econometrica, 33, 178–196.CrossRefGoogle Scholar
  2. Amemiya, T. and Morimune, K. (1974). Selecting the optimal order of polynomial in the Almon distributed lag. Review of Economic and Statistics, 56, 378–386.CrossRefGoogle Scholar
  3. Anderson, T. (1971). The Statistical Analysis of Time Series. New York: Wiley.Google Scholar
  4. Anderson, T. (1974). Distributed lags and barley acreage response analysis. The Australian Journal of Agricultural Economics, 18, 119–132.CrossRefGoogle Scholar
  5. Burrows, P. (1971). Explanatory and forecasting models of inventory investment in Britain. Applied Economics, 3, 275–290.CrossRefGoogle Scholar
  6. Burrows, P. and Godfrey, L. (1973). Identifying and estimating the parameters of a symmetrical model of inventory investment. Applied Economics, 5, 193–197.CrossRefGoogle Scholar
  7. Cagan, P. (1956). The monetary dynamics of hyperinflations. In Studies in the Quantity Theory of Money. Edited by M. Friedman. Chicago: University of Chicago Press.Google Scholar
  8. Carter, R., Nager, A., and Kirkham, P. (1976). The estimation of misspecified polynomial distributed lag models. Research Report 7525, Department of Economics, University of Western Ontario.Google Scholar
  9. Cooper, J. (1972). The approaches to polynomial distributed lags estimation: an expository note and comment. American Statistician, 26, 32–35.Google Scholar
  10. DeLeeuw, F. (1962). The demand for capital goods by manufactures: a study of quarterly time series. Econometrica, 30, 407–423.CrossRefGoogle Scholar
  11. Delury, D. (1950). Values and Integrals of Orthogonal Polynomials Up to n = 26. Toronto: University of Toronto Press.Google Scholar
  12. Dhrymes, P. (1971). Distributed Lags: Problems of Estimation and Formulation. San Francisco: Holden Day.Google Scholar
  13. Fomby, T. (1979). Mean square error evaluation of Shiller’s smoothness priors. International Economic Review, 20, 203–216.CrossRefGoogle Scholar
  14. Frost, P. A. (1975). Some properties of the Almon lag technique when one searches for degree of polynomial and lag. Journal of the American Statistical Association, 70, 606–612.Google Scholar
  15. Fuller, W. (1976). Introduction to Statistical Time Series. New York: Wiley.Google Scholar
  16. Geweke, J. and Meese, R. (1979). Estimating distributed lags of unknown order. Presented at North American Econometrics Society Meetings, Montreal.Google Scholar
  17. Godfrey, L. G. and Poskitt, D. S. (1975). Testing the restrictions of the Almon lag technique. Journal of the American Statistical Association, 70, 105–108.CrossRefGoogle Scholar
  18. Griffiths, W. and Kerrison, R. (1978). Using specification error tests to choose between alternative polynomial lag distributions: an application to investment functions. Working Paper, University of New England, Armidale, Australia.Google Scholar
  19. Griliches, Z. (1967). Distributed lags: a survey. Econometrica, 35, 16–49.CrossRefGoogle Scholar
  20. Hamlen, S. and Hamlen, W. (1978). Harmonic alternatives to the Almon polynomial technique. Journal of Econometrics, 6, 57–66.CrossRefGoogle Scholar
  21. Harper, C. P. (1977). Testing for the existence of a lagged relationship within Almon’s method. Review of Economics and Statistics, 50, 204–210.CrossRefGoogle Scholar
  22. Hendry, D. and Pagan, A. (1980). Distributed lags: a survey of some recent developments. Unpublished mimeo.Google Scholar
  23. Hill, B. E. (1971). Supply responses in crop and livestock production. Journal of Agricultural Economics, 22, 287–293.CrossRefGoogle Scholar
  24. Jones, G. T. (1962). The response of the supply of agricultural products in the United Kingdom to price, Part II. Farm Economist, 10, 1–28.Google Scholar
  25. Jorgenson, D. (1966). Rational distributed lag functions. Econometrica, 34, 135–149.CrossRefGoogle Scholar
  26. Judge, G., Griffiths, W., Hill, R., and Lee, T. (1980). The Theory and Practice of Econometrics. New York: Wiley.Google Scholar
  27. Kmenta, J. (1971). Elements of Econometrics. New York: Macmillan.Google Scholar
  28. Liviatan, N. (1963). Consistent estimation of distributed lags. International Economic Review, 4, 44–52.CrossRefGoogle Scholar
  29. Lütkepohl, H. (1981). A model for nonnegative and nonpositive distributed lag functions. Journal of Econometrics, 16, 211–219.CrossRefGoogle Scholar
  30. Maddala, G. (1974). Ridge estimators for distributed lag models. Working Paper No. 69, National Bureau of Economic Research.Google Scholar
  31. Maddala, G., (1977). Econometrics. New York: McGraw-Hill.Google Scholar
  32. Maddala, G. and Rao, A. (1971). Maximum likelihood estimation of Solow’s and Jorgenson’s distributed lag models. Review of Economics and Statistics, 53, 80–88.CrossRefGoogle Scholar
  33. Muth, J. (1961). Rational expectations and the theory of price movements. Econometrica, 29, 313–335.Google Scholar
  34. Nerlove, M. (1956). Estimates of the elasticities of supply of selected agricultural commodities. Journal of Farm Economics, 38, 496–509.CrossRefGoogle Scholar
  35. Nerlove, M. (1958). Distributed Lags and Demand Analysis. Agriculture Handbook No. 141. U.S. Department of Agriculture.Google Scholar
  36. Pagan, A. (1978). Rational and polynomial lags: the finite connection. Journal of Econometrics, 8, 247–254.CrossRefGoogle Scholar
  37. Pagano, M. and Hartley, M. (1981). On fitting distributed lag models subject to polynomial restrictions. Journal of Econometrics, 16, 171–198.CrossRefGoogle Scholar
  38. Park, S. (1974). Maximum likelihood estimation of a distributed lag model. Proceedings of the Business and Economic Statistics Section of the American Statistical Association. Washington: American Statistical Association. Pp. 510–513.Google Scholar
  39. Peseran, M. (1973). The small sample problem of truncation remainders in the estimation of distributed lag models with autocorrelated errors. International Economic Review, 14, 120–131.CrossRefGoogle Scholar
  40. Poirier, D. (1976). The Economics of Structural Change with Special Emphasis on Spline Functions. Amsterdam: North-Holland.Google Scholar
  41. Ramsey, J. (1969). Tests for specification errors in classical linear least squares regression analysis. Journal of Royal Statistical Society, B, 31, 350–371.Google Scholar
  42. Ramsey, J. (1970). Models, specification error and inference: a discussion of some problems in econometric methodology. Bulletin of Oxford University Institute of Economics and Statistics, 32, 301–318.CrossRefGoogle Scholar
  43. Ramsey, J. (1974). Classical model selection through specification error tests. In Frontiers in Econometrics. Edited by Paul Zarembka. New York: Academic Press.Google Scholar
  44. Sargan, J. (1980). The consumer price equation in the post-war British economy: an exercise in equation specification testing. Review of Economic Studies, 47, 113–135.CrossRefGoogle Scholar
  45. Schmidt, P. (1973). On the difference between conditional and unconditional asymptotic distributions of estimates in distributed lag models with integer-valued parameters. Econometrica, 41, 165–169.CrossRefGoogle Scholar
  46. Schmidt, P. (1974a). A modification of the Almon distributed lag. Journal of the American Statistical Association, 69, 679–681.CrossRefGoogle Scholar
  47. Schmidt, P. (1974b). An argument for the usefulness of the gamma distributed lag model. International Economic Review, 15, 246–250.CrossRefGoogle Scholar
  48. Schmidt, P. (1975). The small sample effects of various treatments of truncation remainders in the estimation of distributed lag models. Review of Economics and Statistics, 57, 387–389.CrossRefGoogle Scholar
  49. Schmidt, P. and Guilkey, D. (1976). The effects of various treatments of truncation remainders in tests of hypotheses in distributed lag models. Journal of Econometrics, 4, 211–230.CrossRefGoogle Scholar
  50. Schmidt, P. and Mann, W. (1977). A note on the approximation of arbitrary distributed lag structures by the modified Almon lag. Journal of the American Statistical Association, 72, 442–443.CrossRefGoogle Scholar
  51. Schmidt, P. and Sickles, R. (1975). On the efficiency of the Almon lag technique. International Economic Review, 16, 792–795.CrossRefGoogle Scholar
  52. Schmidt, P. and Waud, R. (1973). The Almon lag technique and the monetary vs. fiscal policy debate. Journal of the American Statistical Association, 68, 11–19.CrossRefGoogle Scholar
  53. Shiller, R. (1973). A distributed lag estimator derived from smoothness priors. Econometrica, 41, 775–788.CrossRefGoogle Scholar
  54. Solow, R. (1960). On a family of lag distributions. Econometrica, 28, 393–406.CrossRefGoogle Scholar
  55. Taylor, W. (1974). Smoothness priors and stochastic prior restrictions in distributed lag estimation. International Economic Review, 15, 803–804.CrossRefGoogle Scholar
  56. Terasvirta, T. (1976). A note on the bias in the Almon distributed lag estimator. Econometrica, 44, 1317–1322.CrossRefGoogle Scholar
  57. Trivedi, P. and Pagan, A. (1976). Polynomial distributed lags: a unified treatment. Working Paper, Australian National University, Canberra.Google Scholar
  58. Tsurumi, H. (1971). A note on gamma distributed lags. International Economic Review, 12, 317–323.CrossRefGoogle Scholar

Copyright information

© Springer Science+Business Media New York 1984

Authors and Affiliations

  • Thomas B. Fomby
    • 1
  • Stanley R. Johnson
    • 2
  • R. Carter Hill
    • 3
  1. 1.Department of EconomicsSouthern Methodist UniversityDallasUSA
  2. 2.The Center for Agricultural and Rural DevelopmentIowa State UniversityAmesUSA
  3. 3.Department of EconomicsLouisiana State UniversityBaton RougeUSA

Personalised recommendations