2007-05-01
On the econometrics of the geometric lag model
Publication
Publication
Economics Letters , Volume 95 - Issue 2 p. 291- 296
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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| doi.org/10.1016/j.econlet.2006.10.023, hdl.handle.net/1765/13350 | |
| Econometric Institute Reprint Series | |
| Economics Letters | |
| Organisation | Erasmus Research Institute of Management |
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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
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