tseffects (Q7368808)

Autoregressive distributed lag (A[R]DL) models (and their reparameterized equivalent, the Generalized Error-Correction Model [GECM]) are the workhorse dynamic linear models in uncovering dynamic inferences. ADL models are simple to estimate; this is what makes them attractive. Once these models are estimated, what is less clear is how to uncover a rich set of dynamic inferences from these models. We provide tools for recovering those inferences. These tools apply to traditional time-series quantities of interest and are built from the Impulse Response Function and Step Response Function (sometimes described as a pulse effect or a cumulative effect). They also allow for a variety of shock histories to be applied to the independent variable (beyond just a one-time, one-unit increase) as well as the recovery of inferences in levels for shocks applied to (in)dependent variables in differences through the Generalized Dynamic Response Function. These tools are also available for the general conditional dynamic model advocated by Warner, Vande Kamp, and Jordan (2026 <doi:10.1017/psrm.2026.10087>).