Maurice Tutor

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Teaching Since: May 2017
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  • MCS,PHD
    Argosy University/ Phoniex University/
    Nov-2005 - Oct-2011

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  • Professor
    Phoniex University
    Oct-2001 - Nov-2016

Category > Economics Posted 21 Jul 2017 My Price 7.00

individual lag coefficients

6   In Example 10.4, we saw that our estimates of the individual lag coefficients in a distrib- uted lag model were very imprecise. One way to alleviate the multicollinearity problem is to assume that the dj follow a relatively simple pattern. For concreteness, consider a model with four lags:

yt  5 a0  1 d0zt  1 d1zt21  1 d2zt22  1 d3zt23  1 d4zt24  1 ut.

Now, let us assume that the dj  follow a quadratic in the lag, j:

dj 5 g0 1 g1 j 1 g2 j 2,

for parameters g0, g1, and g2. This is an example of a polynomial distributed lag (PDL) model.

(i)       Plug the formula for each dj into the distributed lag model and write the model in terms of the parameters gh, for h 5 0,1,2.

(ii)     Explain the regression you would run to estimate the gh.

(iii)    The polynomial distributed lag model is a restricted version of the general model. How many restrictions are imposed? How would you test these? (Hint: Think F test.)

Answers

Maurice Tutor
(5)
Status NEW Posted 21 Jul 2017 10:07 PM My Price 7.00

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