Identifying Identical Distributed Lag Structures by the Use of Prior Sumconstraints

28 Pages Posted: 26 May 2004 Last revised: 30 Jun 2010

See all articles by Benjamin M. Friedman

Benjamin M. Friedman

Harvard University - Department of Economics; National Bureau of Economic Research (NBER)

V. Vance Roley

University of Hawaii - Shidler College of Business; National Bureau of Economic Research (NBER)

Date Written: April 1977

Abstract

This paper derives an estimation procedure which, when the same distributed lag appears twice in an equation to be estimated by least-squares regression, identifies all of the relevant coefficients and lag weights and also constrains the two sets of individual lag weights to be identical. The procedure for solving this identification-constraint problem involves prior imposition of a restriction on the lag weight sum -- i.e., it is necessary to impose the sum restriction before estimating the equation. A further useful feature of the derived procedure is that it facilitates conveniently imposing the sum restriction on all of the weights in a distributed lag even if the leading weight is independent of a polynomial restriction imposed on the others.

Suggested Citation

Friedman, Benjamin M. and Roley, V. Vance, Identifying Identical Distributed Lag Structures by the Use of Prior Sumconstraints (April 1977). NBER Working Paper No. w0179. Available at SSRN: https://ssrn.com/abstract=260369

Benjamin M. Friedman (Contact Author)

Harvard University - Department of Economics ( email )

Littauer Center
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National Bureau of Economic Research (NBER)

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V. Vance Roley

University of Hawaii - Shidler College of Business ( email )

2404 Maile Way
Honolulu, HI 96822
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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