From the help desk: Polynomial distributed lag models
Abstract. Polynomial distributed lag models (PDLs) are finite-order distributed lag
models with the impulse–response function constrained to lie on a
polynomial of known degree. You can estimate the parameters of a PDL
directly via constrained ordinary least squares, or you can derive a reduced
form of the model via a linear transformation of the structural model,
estimate the reduced-form parameters, and recover estimates of the
structural parameters via an inverse linear transformation of the
reduced-form parameter estimates. This article demonstrates both methods
using Stata.
View all articles by this author:
Allen McDowell
View all articles with these keywords:
polynomial distributed lag, Almon, Lagrangian interpolation polynomials
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