Estimating the duration of dynamic effects with temporally aggregated observations

DOI10.1080/00949658708810991MaRDI QIDQ3750894zbMATH OpenOpenAlexFDO

Authors Wilfried R. Vanhonacker

Publication date 1987

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949658708810991

zbMATH Keywords

dynamic modelsordinary least squares estimatortemporal aggregationduration of dynamic effectsKoyck model frameworkserial correlation bias

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Probabilistic methods, stochastic differential equations (65C99)

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Uses Software

• IMSL Numerical Libraries

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