On the econometrics of the geometric lag model

DOI10.1016/J.ECONLET.2006.10.023MaRDI QIDQ1934056zbMATH OpenOpenAlexFDO

Authors Philip Hans Franses, Rutger D. van Oest

Publication date 28 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2006.10.023

zbMATH Keywords

advertising relationshipgeometric lag modelsales

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of mathematical programming (90C90) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Recommendations

• Efficient Estimation of the Geometric Distributed Lag Model: Some Monte Carlo Results on Small Sample Properties
• Geometric combination lags as flexible infinite distributed lag estimators
• Distributed Lags, Aggregation and Compounding: Some Econometric Implications
• The Exact Moments of Ordinary Least Squares Estimators for Koyck Distributed Lag Models
• Estimating Distributed Lags in Short Panels with an Application to the Specification of Depreciation Patterns and Capital Stock Constructs

Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Misspecified structural change, threshold, and Markov-switching models.
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative

Cited in

(4)

• Geometric combination lags as flexible infinite distributed lag estimators
• Effects of misspecification of lag structure in certain two-variable distributed lag models
• Efficient Estimation of the Geometric Distributed Lag Model: Some Monte Carlo Results on Small Sample Properties
• Inspecting debt servicing mechanism in Nigeria using ARMAX model of the Koyck kind

This page was built for publication: On the econometrics of the geometric lag model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1934056)