A simple method for the estimation of rational distributed lag models

DOI10.1080/03610928808829721MaRDI QIDQ3793580zbMATH OpenOpenAlexFDO

Authors Markku Rahiala

Publication date 1988

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610928808829721

zbMATH Keywords

generalized least squares estimatorsmultiple input rational distributed lag modelsrational transfer function modelstime series analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• An approach to testing linear time series models
• Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
• scientific article; zbMATH DE number 3714796 (Why is no real title available?)
• scientific article; zbMATH DE number 3332973 (Why is no real title available?)
• scientific article; zbMATH DE number 3070807 (Why is no real title available?)
• Identification of Dynamic Regression (Distributed Lag) Models Connecting Two Time Series

Cited in

(15)

• Mean lag in general error correction models
• Vector distributed lag models with smoothness priors
• A linearly distributed lag estimator with \(r\)-convex coefficients
• Considerations on the study of the errors in the mathematical model of the lag propagation
• The Optimality of Rational Distributed Lags: A Comment
• Distributed Lags, Aggregation and Compounding: Some Econometric Implications
• scientific article; zbMATH DE number 3878215 (Why is no real title available?)
• Revisiting distributed lag models through a Bayesian perspective
• TRANSFER FUNCTION MODEL ORDER AND PARAMETER ESTIMATION
• scientific article; zbMATH DE number 4110607 (Why is no real title available?)
• Exact Inference Methods for First-Order Autoregressive Distributed Lag Models
• On Some Properties of Composite Distributed Lag Models
• Comparisons of the alternative biased estimators for the distributed lag models
• Restricted estimation of distributed lag model from a Bayesian point of view
• A simple test for the consistency of dynamic linear regression in rational distributed lag models

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