From the help desk: Polynomial distributed lag models

Polynomial distributed lag models (PDLs) are finite-order distributed lag models with the impulse–response function constrained to lie on a polynomial of known degree. You can estimate the parameters of a PDL directly via constrained ordinary least squares, or you can derive a reduced form of the model via a linear transformation of the structural model, estimate the reduced-form parameters, and recover estimates of the structural parameters via an inverse linear transformation of the reduced-form parameter estimates. This article demonstrates both methods using Stata.


Issue Date:
2004
Publication Type:
Journal Article
DOI and Other Identifiers:
st0065 (Other)
PURL Identifier:
http://purl.umn.edu/116237
Published in:
Stata Journal, Volume 04, Number 2
Page range:
180-189
Total Pages:
10

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 Record created 2017-04-01, last modified 2017-04-27

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