Effects of misspecification of lag structure in certain two-variable distributed lag models

DOI10.1016/0898-1221(91)90188-AzbMath0751.90019MaRDI QIDQ1192161

Jeffrey C. Lagarias

Publication date: 27 September 1992

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

zbMATH Keywords

distributed lag modelsDistributed lag models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Economic growth models (91B62)

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Cites Work

• Bayesian analysis of the federal reserve-MIT-Penn model's Almon lag consumption function
• Multivariate time series analysis
• Conditions That a Stochastic Process be Ergodic
• Asymptotic Approximations to Distributions
• Aggregation over Time in Distributed Lag Models
• Specification Tests in Econometrics
• Bayesian Analysis of the Regression Model With Autocorrelated Errors
• A Comparative Study of Alternative Estimators in a Distributed Lag Model
• Efficient Estimation of Distributed Lags with Autocorrelated Errors
• The central limit problem for mixing sequences of random variables
• Analysis of Distributed Lag Models with Applications to Consumption Function Estimation
• Central limit theorems for time series regression
• A Note on Serial Correlation Bias in Estimates of Distributed Lags
• Some Limit Theorems for Stationary Processes
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