Distributed lag

In statistics and econometrics, a distributed lag model is a model for time series data in which a regression
equation is used to predict current values of a dependent variable based on both the current values of an
explanatory variable and the lagged (past period) values of this explanatory variable.[1][2]

The starting point for a distributed lag model is an assumed structure of the form

or the form

where yt is the value at time period t of the dependent variable y, a is the intercept term to be estimated, and
wi is called the lag weight (also to be estimated) placed on the value i periods previously of the explanatory
variable x. In the first equation, the dependent variable is assumed to be affected by values of the
independent variable arbitrarily far in the past, so the number of lag weights is infinite and the model is
called an infinite distributed lag model. In the alternative, second, equation, there are only a finite number
of lag weights, indicating an assumption that there is a maximum lag beyond which values of the
independent variable do not affect the dependent variable; a model based on this assumption is called a
finite distributed lag model.

In an infinite distributed lag model, an infinite number of lag weights need to be estimated; clearly this can
be done only if some structure is assumed for the relation between the various lag weights, with the entire
infinitude of them expressible in terms of a finite number of assumed underlying parameters. In a finite
distributed lag model, the parameters could be directly estimated by ordinary least squares (assuming the
number of data points sufficiently exceeds the number of lag weights); nevertheless, such estimation may
give very imprecise results due to extreme multicollinearity among the various lagged values of the
independent variable, so again it may be necessary to assume some structure for the relation between the
various lag weights.

The concept of distributed lag models easily generalizes to the context of more than one right-side
explanatory variable.

Unstructured estimation
The simplest way to estimate parameters associated with distributed lags is by ordinary least squares,
assuming a fixed maximum lag , assuming independently and identically distributed errors, and imposing
no structure on the relationship of the coefficients of the lagged explanators with each other. However,
multicollinearity among the lagged explanators often arises, leading to high variance of the coefficient
estimates.

Structured estimation
Structured distributed lag models come in two types: finite and infinite. Infinite distributed lags allow the
value of the independent variable at a particular time to influence the dependent variable infinitely far into
the future, or to put it another way, they allow the current value of the dependent variable to be influenced
by values of the independent variable that occurred infinitely long ago; but beyond some lag length the
effects taper off toward zero. Finite distributed lags allow for the independent variable at a particular time
to influence the dependent variable for only a finite number of periods.

Finite distributed lags

The most important structured finite distributed lag model is the Almon lag model.[3] This model allows
the data to determine the shape of the lag structure, but the researcher must specify the maximum lag length;
an incorrectly specified maximum lag length can distort the shape of the estimated lag structure as well as
the cumulative effect of the independent variable. The Almon lag assumes that k + 1 lag weights are
related to n + 1 linearly estimable underlying parameters (n < k) a j according to

for

Infinite distributed lags

The most common type of structured infinite distributed lag model is the geometric lag, also known as the
Koyck lag. In this lag structure, the weights (magnitudes of influence) of the lagged independent variable
values decline exponentially with the length of the lag; while the shape of the lag structure is thus fully
imposed by the choice of this technique, the rate of decline as well as the overall magnitude of effect are
determined by the data. Specification of the regression equation is very straightforward: one includes as
explanators (right-hand side variables in the regression) the one-period-lagged value of the dependent
variable and the current value of the independent variable:

where . In this model, the short-run (same-period) effect of a unit change in the independent
variable is the value of b, while the long-run (cumulative) effect of a sustained unit change in the
independent variable can be shown to be

Other infinite distributed lag models have been proposed to allow the data to determine the shape of the lag
structure. The polynomial inverse lag[4][5] assumes that the lag weights are related to underlying, linearly
estimable parameters aj according to

for

The geometric combination lag[6] assumes that the lags weights are related to underlying, linearly
estimable parameters aj according to either
for or

for

The gamma lag[7] and the rational lag[8] are other infinite distributed lag structures.

Distributed lag model in health studies

The distributed lag model concept was first to applied to longitudinal cohort research by Hsu in 2015,[13]
studying the relationship between PM2.5 and child asthma, and more complicated distributed lag method
aimed to accommodate longitudinal cohort research analysis such as Bayesian Distributed Lag Interaction
Model[14] by Wilson have been subsequently developed to answer similar research questions.

See also
ARMAX
Mixed data sampling

References
1. Cromwell, Jeff B.; et al. (1994). Multivariate Tests For Time Series Models. SAGE
Publications. ISBN 0-8039-5440-9.
2. Judge, George G.; Griffiths, William E.; Hill, R. Carter; Lee, Tsoung-Chao (1980). The Theory
and Practice of Econometrics. New York: Wiley. pp. 637–660. ISBN 0-471-05938-2.
3. Almon, Shirley, "The distributed lag between capital appropriations and net expenditures,"
Econometrica 33, 1965, 178-196.
4. Mitchell, Douglas W., and Speaker, Paul J., "A simple, flexible distributed lag technique: the
polynomial inverse lag," Journal of Econometrics 31, 1986, 329-340.
5. Gelles, Gregory M., and Mitchell, Douglas W., "An approximation theorem for the polynomial
inverse lag," Economics Letters 30, 1989, 129-132.
6. Speaker, Paul J., Mitchell, Douglas W., and Gelles, Gregory M., "Geometric combination
lags as flexible infinite distributed lag estimators," Journal of Economic Dynamics and
Control 13, 1989, 171-185.
7. Schmidt, Peter (1974). "A modification of the Almon distributed lag". Journal of the American
Statistical Association. 69 (347): 679–681. doi:10.1080/01621459.1974.10480188 (https://do
i.org/10.1080%2F01621459.1974.10480188).
 8. Jorgenson, Dale W. (1966). "Rational distributed lag functions". Econometrica. 34 (1): 135–
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ps://api.semanticscholar.org/CorpusID:25181383).
10. Welty, L. J.; Peng, R. D.; Zeger, S. L.; Dominici, F. (March 2009). "Bayesian distributed lag
models: estimating effects of particulate matter air pollution on daily mortality" (https://pubme
d.ncbi.nlm.nih.gov/18422792). Biometrics. 65 (1): 282–291. doi:10.1111/j.1541-
0420.2007.01039.x (https://doi.org/10.1111%2Fj.1541-0420.2007.01039.x). ISSN 1541-
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11. Gasparrini, A; Armstrong, B; Kenward, M G (2010-09-20). "Distributed lag non-linear models"
(https://www.ncbi.nlm.nih.gov/pmc/articles/PMC2998707). Statistics in Medicine. 29 (21):
2224–2234. doi:10.1002/sim.3940 (https://doi.org/10.1002%2Fsim.3940). ISSN 0277-6715
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12. "Distributed Lag Non-Linear Models [R package dlnm version 2.4.6]" (https://cran.r-project.or
g/package=dlnm). cran.r-project.org. 2021-06-15. Retrieved 2021-09-17.
13. Leon Hsu, Hsiao-Hsien; Mathilda Chiu, Yueh-Hsiu; Coull, Brent A.; Kloog, Itai; Schwartz,
Joel; Lee, Alison; Wright, Robert O.; Wright, Rosalind J. (2015-11-01). "Prenatal Particulate
Air Pollution and Asthma Onset in Urban Children. Identifying Sensitive Windows and Sex
Differences" (https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4642201). American Journal of
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0658OC (https://doi.org/10.1164%2Frccm.201504-0658OC). ISSN 1073-449X (https://www.
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14. Wilson, Ander; Chiu, Yueh-Hsiu Mathilda; Hsu, Hsiao-Hsien Leon; Wright, Robert O.; Wright,
Rosalind J.; Coull, Brent A. (July 2017). "Bayesian distributed lag interaction models to
identify perinatal windows of vulnerability in children's health" (https://www.ncbi.nlm.nih.gov/
pmc/articles/PMC5862289). Biostatistics. 18 (3): 537–552. doi:10.1093/biostatistics/kxx002
(https://doi.org/10.1093%2Fbiostatistics%2Fkxx002). ISSN 1465-4644 (https://www.worldca
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