TY  - JOUR
AU  - Andrews,Donald W.K.
AU  - Fair,Ray C.
TI  - Estimation of Polynomial Distributed Lags and Leads with End Point Constraints
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 79
PY  - 1989
Y2  - October 1989
UR  - http://www.nber.org/papers/t0079
L1  - http://www.nber.org/papers/t0079.pdf
N1  - Author contact info:
Donald Andrews
E-Mail: donald.andrews@yale.edu

Ray C. Fair
Cowles Foundation
P.O. Box 208281
Yale University
New Haven, CT  06520-8281
E-Mail: ray.fair@yale.edu
AB  - 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.
ER  -