Estimation of Polynomial Distributed Lags and Leads with End Point Constraints

18 Pages Posted: 9 Jan 2007 Last revised: 21 Sep 2010

See all articles by Donald W. K. Andrews

Donald W. K. Andrews

Yale University - Cowles Foundation

Ray C. Fair

Yale University - Cowles Foundation; Yale School of Management - International Center for Finance

Date Written: October 1989

Abstract

This paper considers the use of the polynomial distributed lag (PDL) technique when the lag length is estimated rather than fixed. We focus on the case where the degree of the polynomial is fixed, the polynomial is constrained to be zero at a certain lag length q, and q is estimated along with the other parameters. We extend the traditional PDL setup by allowing q to be real-valued rather than integer-valued, and we derive the asymptotic covariance matrix of all the parameter estimates, including the estimate of q. The paper also considers the estimation of distributed leads rather than lags, a case that can arise if expectations are assumed to be rational.

Suggested Citation

Andrews, Donald W. K. and Fair, Ray C., Estimation of Polynomial Distributed Lags and Leads with End Point Constraints (October 1989). NBER Working Paper No. t0079. Available at SSRN: https://ssrn.com/abstract=579759

Donald W. K. Andrews (Contact Author)

Yale University - Cowles Foundation ( email )

Box 208281
New Haven, CT 06520-8281
United States
203-432-3698 (Phone)
203-432-6167 (Fax)

Ray C. Fair

Yale University - Cowles Foundation ( email )

Box 208281
New Haven, CT 06520-8281
United States
203-432-3715 (Phone)
203-432-6167 (Fax)

HOME PAGE: http://fairmodel.econ.yale.edu

Yale School of Management - International Center for Finance ( email )

Box 208200
New Haven, CT 06520
United States
203-432-3715 (Phone)
203-432-6167 (Fax)

HOME PAGE: http://fairmodel.econ.yale.edu

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