On some properties of composite distributed lag models

• Authors: Jan GADOMSKI
• Languages of publication: EN

Abstracts

EN

The analysis presented in this paper is focused on basic properties of discrete distributed lag models. Such models are commonly used to model dynamic systems in various applications. In the presented considerations, time-varying distributed lags have been analyzed. Composite distributed lag models analyzed in this paper result from the summation or superposition of component distributed lag models. The analysis is restricted to models with a lag distribution, whose mean lag and variance exist. The paper presents relationships between the mean values and variances of the lag distributions of composite distributed lag models and of the component distributed lag models, as well as the relationships between the variance of the random term of composite distributed lag models and the variance of the random term of the component distributed lag models.

Keywords

EN

economic modeling; distributed lags; lag distributions

• Publisher: Politechnika Wrocławska. Oficyna Wydawnicza Politechniki Wrocławskiej
• Journal: Operations Research and Decisions
• Year: 2013
• Volume: 23
• Issue: 3
• Pages: 5-22

Contributors

author

Jan GADOMSKI

• Systems Research Institute of the Polish Academy of Sciences, ul. Newelska 6, 01-447 Warsaw, Poland

References

• ALMON S., The Distributed Lag Between Capital Appropriations and Expenditures, Econometrica, 1965, 33 (1), 178–196.
• BRONSZTAJN I.N., SIEMIENDIAJEW K.A., MUSIOL G., MÜHLIG H., A Compendium of Modern Mathematics (in Polish: Nowoczesne kompendium matematyki), Wydawnictwo Naukowe PWN, Warsaw 2004.
• FISHER I., Note on a Short-Cut Method for Calculating Distributed Lags, International Statistical Institute Bulletin, 1937, 29, 323–327.
• DAHL C.M., KULAKSIZOGLU T., Modelling Changing Lag Structure in U.S. Housing Construction, Department of Economics, Purdue University, 2004.
• DHRYMES P. J., Distributed Lags. Problems of Estimation and Formulation, 2nd Ed., North Holland Publishing Company, Amsterdam 1981, 12–14.
• GADOMSKI J., KLUKOWSKI L., Properties of Distributed Lags With Time-Varying Coefficients, Ekonomia, 1988, 52, 145–162 (in Polish).
• GADOMSKI J., Modeling Flows in Socio-Economic Systems Using Time-Varying Distributed Lag Models, Systems Research Institute of the Polish Academy of Sciences, Working Papers RB/64/2011, Warsaw 2011, 1–46 (in Polish).
• GRILICHES Z., Distributed Lags. A Survey, Econometrica, 1967, 35, 16–49.
• JORGENSEN D.W., Rational Distributed Lag Function, Econometrica, 1966, 34, 149–155.
• KENKEL J.L., Dynamic Linear Economic Models, Gordon and Breach Science Publishers, New York 1974, 153–168.
• KOŹNIEWSKA I., Recurrence equations, Wydawnictwo Naukowe PWN, Warsaw 1972 (in Polish).
• KOYCK L.M., Distributed Lags and Investment Analysis, North-Holland Publishing Company, Amsterdam 1954.
• PESANDO J.S., Seasonal Variability in Distributed Lag Models, Journal of the American Statistical Association, 1972, 67, 311–312.
• OTTO W., Changing Investment Delays, PhD thesis, Faculty of Economic Sciences, Warsaw University, Warsaw 1985.
• TRIVEDI P.K., LEE B.M.S., Seasonal Variability in a Distributed Lag Model, Review of EconomicStudies, 1981, 48, 497–505

Identifiers

DOI

10.5277/ord130301