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Autoregressive distributed lagged

asked 2014-03-17 00:18:44 +0000

anonymous user

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how to test Autoregressive distributed lagged and command for shazam 10.0 ? what is part of Autoregressive distributed lagged in shazam manual 11 ?

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answered 2014-03-17 01:29:23 +0000

See 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.

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Asked: 2014-03-17 00:18:44 +0000

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Last updated: Mar 17 '14