TY - JOUR
AU - Friedman,Benjamin M.
AU - Roley,V. Vance
TI - Identifying Identical Distributed Lag Structures by the Use of Prior SumConstraints
JF - National Bureau of Economic Research Working Paper Series
VL - No. 179
PY - 1977
Y2 - April 1977
DO - 10.3386/w0179
UR - http://www.nber.org/papers/w0179
L1 - http://www.nber.org/papers/w0179.pdf
N1 - Author contact info:
Benjamin M. Friedman
Department of Economics
Littauer Center 127
Harvard University
Cambridge, MA 02138
Tel: 617/495-4246
Fax: 617/495-7730
E-Mail: bfriedman@harvard.edu
V. Vance Roley
Department of Finance/DJ-10
Graduate School of Business
University of Washington
Seattle, WA 98195
Tel: 206/545-7476
E-Mail: vroley@u.washington.edu
AB - 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.
ER -