Dynamic Specification and Linear Transformations of the Autoregressive-Distributed Lag Model.

B-Tier
Journal: Oxford Bulletin of Economics and Statistics
Year: 1990
Volume: 52
Issue: 1
Pages: 95-104

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

The authors show that, interpreted broadly, the error-correction form is a member of a general class of transformations including those of R. A. Bewley (1979) and G. Bardsen (1989), which give numerically equivalent estimates of long-run multipliers. Whereas the advantage of the Bewley form is well known, the authors point out the advantage of the error-correction form in providing readily interpretable estimates of short-run responses to disequilibrium, without the necessity of prior estimates of cointegrating parameters. They then describe briefly methods of calculating approximate standard errors of the long-run multiplier for the autoregressive-distributed lag form and error-correction form, and show their equivalence. Copyright 1990 by Blackwell Publishing Ltd

Technical Details

RePEc Handle
repec:bla:obuest:v:52:y:1990:i:1:p:95-104
Journal Field
General
Author Count
3
Added to Database
2026-01-24