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"Estimation of Distributed Lags and Leads with End Point
(with D. K. Andrews), Journal of Econometrics, 1992, 123-139.
pdf file (714KB).
This paper considers the use of the polynomial distributed lag (PDL)
technique when the lag length is estimated rather than fixed. We focus
on the case where the degree of the polynomial is fixed, the polynomial
is constrained to be zero at a certain lag length q, and
q is estimated along with the other parameters. We extend the
traditional PDL setup by allowing q to be real-valued rather
than integer-valued, and we derive the asymptotic covariance matrix of
all the parameter estimates, including the estimate of q. The
paper also considers the estimation of distributed leads rather than
lags, a case that can arise if expectations are assumed to be rational.
This paper makes two contributions to the PDL literature. The first is
to allow the lag length to be estimated (along with the standard error
of the estimate), and the second is to consider the case of polynomial
distributed leads. An extensive set of results using the method is