Estimating the duration of dynamic effects with temporally aggregated observations

DOI10.1080/00949658708810991zbMATH Open0611.62143OpenAlexW2087813418MaRDI QIDQ3750894FDOQ3750894

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

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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)

Uses Software

• IMSL Numerical Libraries

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