http://hdl.handle.net/1765/13350
http://dx.doi.org/10.1016/j.econlet.2006.10.023
series: EI-1459
EI-1459
http://dx.doi.org/10.1016/j.econlet.2006.10.023
series: EI-1459
EI-1459
On the econometrics of the geometric lag model
May 2007
Article
volume 95, issue 2 pp 291-296.
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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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