In this letter we focus on the econometrics of the geometric distributed lag model, after application of the so-called Koyck transformation. The Koyck transformation entails a parameter restriction, which should not be overlooked for reasons of estimation efficiency. Furthermore, the t statistic for the parameter for direct effects has a non-standard distribution. We provide solutions to these two issues.

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Keywords econometrics, geometric lag model, sales-advertising relationship
Persistent URL dx.doi.org/10.1016/j.econlet.2006.10.023, hdl.handle.net/1765/13350
Citation
Franses, Ph.H.B.F., & van Oest, R.D.. (2007). On the econometrics of the geometric lag model. Economics Letters, 95(2), 291–296. doi:10.1016/j.econlet.2006.10.023