NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Estimating Distributed Lags in Short Panels with an Application to the Specification of Depreciation Patterns and Capital Stock Constructs

Ariel Pakes, Zvi Griliches

NBER Working Paper No. 933 (Also Reprint No. r0532)
Issued in July 1982
NBER Program(s):   PR

In this paper, we investigate the problem of estimating distributed lags in short panels. Estimates of the parameter of distributed lag relationships based on single time-series of observations have been usually rather imprecise. The promise of panel data is in the N repetitions of the time-series that it contains which should allow one to estimate the identified lag parameters with greater precision. On the other hand, panels tend to track their observations only over a relatively short time interval. Thus, some assumptions will have to be made on the contribution of the unobserved presample x's to the current values of y before any lag parameters can be identified from such data. In this paper we suggest two such assumptions; both of which are, at least in part, testable, and outline appropriate estimation techniques. The first places reasonable restrictions on the relationship between the presample and in sample x's while the second imposes conventional functional form constraints on the lag coefficients. The paper concludes with an example which investigates empirically how to construct a "capital stock" for profit or rate of return regressions.

download in pdf format
   (343 K)

email paper

This paper is available as PDF (343 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w0933

Published: Pakes, Ariel and Zvi Griliches. "Estimating Distributed Lags in Short Panels with an Application to the Specification of Depreciation Patterns and Capital Stock Constructs." Review of Economic Studies, No. LI(2), No. 165, (April 1984), pp. 243-262. citation courtesy of

This paper is a revision of the earlier The Estimation of Distributed Lags in Short Panels, Zvi Griliches, Ariel Pakes
Users who downloaded this paper also downloaded these:
Griliches and Pakes t0004 The Estimation of Distributed Lags in Short Panels
Pakes and Griliches Patents and R&D at the Firm Level: A First Look
Triplett Zvi Griliches' Contributions to Economic Measurement
Hall, Griliches, and Hausman w1454 Patents and R&D: Is There A Lag?
Pakes and Griliches w0561 Patents and R and D at the Firm Level: A First Look
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us