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Dynamic Econometric Models

In regression analysis involving time series data, if the regression model includes not only the current but also the lagged (past) values of the explanatory variables (the X’s), it is called a distributed‐lag model. • If the model includes one or more lagged values of the dependent variable among its explanatory variables, it is called an autoregression model.

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Avitha Meliia Sugiono
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157 views3 pages

Dynamic Econometric Models

In regression analysis involving time series data, if the regression model includes not only the current but also the lagged (past) values of the explanatory variables (the X’s), it is called a distributed‐lag model. • If the model includes one or more lagged values of the dependent variable among its explanatory variables, it is called an autoregression model.

Uploaded by

Avitha Meliia Sugiono
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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1

DynamicEconometricModels:
y
AutoregressiveandDistributedLag
Models

DistributedLagandAutoregression
g
g
Models
Inregressionanalysisinvolvingtimeseries
data if the regression model includes not only
data,iftheregressionmodelincludesnotonly
thecurrentbutalsothelagged(past)valuesof
theexplanatoryvariables(theXs),itiscalled
h
l
i bl ( h X ) i i
ll d
adistributedlagmodel.
Ifthemodelincludesoneormorelagged
values of the dependent variable among its
valuesofthedependentvariableamongits
explanatoryvariables,itiscalledan
autoregressionmodel.
i
d l
2

TheResultofDistributedLagModel
g
Regression

TheResultofAutoregressionModel
g
Regression

ComparetheresultsbetweenDistributedlag
andautoregressionmodel!
d t
i
d l!
Whichmodelismoreappropriate?
Which model is more appropriate?

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