NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Estimation of Polynomial Distributed Lags and Leads with End Point Constraints

Donald W.K. Andrews, Ray C. Fair

NBER Technical Working Paper No. 79
Issued in October 1989
NBER Program(s):   EFG

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.

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Document Object Identifier (DOI): 10.3386/t0079

Published: Journal of Econometrics, Vol.53, No. 1-3, pp. 123-139 July-Sept 1992

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