Relative Sensitivity of Selected Distributed Lag Estimators to Measurement and Specification Error

Autor:	S. Darrell Mundy, Charles B. Sappington, Larry L. Bauer
Rok vydání:	1978
Předmět:	Distributed lag Economics and Econometrics Lag Research Methods/ Statistical Methods Estimator Monotonic function Function (mathematics) Agricultural and Biological Sciences (miscellaneous) Distribution (mathematics) Specification Statistics Econometrics A priori and a posteriori Mathematics
Zdroj:	Journal of Agricultural and Applied Economics. 10:125-131
ISSN:	2056-7405 1074-0708
DOI:	10.1017/s0081305200014485
Popis:	The notion that one economic variable has an impact on another over several time periods is not uncommon to economic thought. Irving Fisher was the first to introduce empirically the notion of distributed lags using different shapes of probability curves. Alt continued the work, but made no a priori assumptions about the distribution of the lag as Fisher had done. Koyck and Nerlove returned to and extended the work of Fisher assuming a priori a monotonically declining distribution. More recently Jorgenson, Almon, and Johnson have developed estimators which, like those of Alt, assume only a continuous lag function of unspecified shape. There is evidence, however, that the Jorgenson and Johnson techniques are extremely sensitive to errors of measurement and specification because in applied work, reasonable estimates of lag distributions occur infrequently.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::aadc75865acc2eb8f621404963c832e2 https://doi.org/10.1017/s0081305200014485 Zobrazit plný text záznamu