TY  - JOUR
AU  - Pakes,Ariel
AU  - Griliches,Zvi
TI  - Estimating Distributed Lags in Short Panels with an Application to the Specification of Depreciation Patterns and Capital Stock Constructs
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 933
PY  - 1984
Y2  - October 1984
UR  - http://www.nber.org/papers/w0933
L1  - http://www.nber.org/papers/w0933.pdf
N1  - Author contact info:
Ariel Pakes
Department of Economics
Harvard University
Littauer Room 117
Cambridge, MA 02138
Tel: 617/495-5320
Fax: 617/496-7352
E-Mail: apakes@fas.harvard.edu

Zvi Griliches
E-Mail: N/A user is deceased
AB  - 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.
ER  -