| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5062599 | Economics Letters | 2007 | 6 Pages |
Abstract
In this letter we focus on the econometrics of the geometric distributed lag model, after application of the so-called Koyck transformation. The Koyck transformation entails a parameter restriction, which should not be overlooked for reasons of estimation efficiency. Furthermore, the t statistic for the parameter for direct effects has a non-standard distribution. We provide solutions to these two issues.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Philip Hans Franses, Rutger van Oest,