SHAZAM Questions and Answers (Q&A) - RSS feedhttp://community.econometrics.com/questions/SHAZAM Econometrics, Statistics and Analytics Communityen<font color="white">Copyright <b>SHAZAM Analytics, 2018</b></font>Mon, 17 Mar 2014 01:29:23 +0000Autoregressive distributed laggedhttp://community.econometrics.com/question/460/autoregressive-distributed-lagged/how to test Autoregressive distributed lagged and command for shazam 10.0 ?
what is part of Autoregressive distributed lagged in shazam manual 11 ?Mon, 17 Mar 2014 00:18:44 +0000http://community.econometrics.com/question/460/autoregressive-distributed-lagged/Answer by SHAZAMHelp for <p>how to test Autoregressive distributed lagged and command for shazam 10.0 ?
what is part of Autoregressive distributed lagged in shazam manual 11 ?</p>
http://community.econometrics.com/question/460/autoregressive-distributed-lagged/?answer=461#post-id-461See Chapter 15 'Distributed Lag Models' on page 203 which describes:
A distributed lag for any explanatory variable on the estimation command (OLS, AUTO, BOX, GLS or POOL) can be specified using the special form:
indep(first.last)
where indep is the name of an independent variable. The numbers in parentheses specify
the first and last periods to use for lags. For example, (0.3) means to use the current period
(0) and lags t–1, t–2, and t–3. Each explanatory variable may have a different lag structure.
An Almon polynomial distributed lag for any explanatory variable on the estimation command (OLS, AUTO, BOX, GLS, or POOL) can be specified using the special form:
indep(first.last,order,endcon)
where indep is the name of an independent variable. Each independent variable may have
up to 3 parameters in parentheses which specify the form of the polynomial lag. The first
parameter contains two numbers separated by a dot (.). These numbers specify the first and
last periods to use for lags. The order parameter specifies the order of the Almon lag
scheme. The endcon parameter specifies the endpoint restrictions as follows:
0 = No Endpoint restrictions;
1 = Endpoint restrictions on the left side of the polynomial;
2 = Endpoint restrictions on the right side of the polynomial;
3 = Endpoint restrictions on both left and right sides.
If order and endcon are not specified an unrestricted lag is used. Mon, 17 Mar 2014 01:29:23 +0000http://community.econometrics.com/question/460/autoregressive-distributed-lagged/?answer=461#post-id-461