A simple method for the estimation of rational distributed lag models

References

• Beguin , J.-M; C. Gourieuroux and Monfort , A. 1980 . “ Identification of a mixed autoregressive-moving average process:The corner method ” . In Time Series , Edited by: Anderson , O.D. Amsterdam : North-Holland .
   Google Scholar
• Bishop , Y. , Fienberg , S. and Holland , P. 1975 . Discrete Multivariate Analysis , Cambridge : MIT Press .
   Google Scholar
• Box , G.E.P. and Jenkins , G.M. 1970 . Time Series Analysis:Forecasting and Control , San Francisco : Holden-Day .
   Google Scholar
• Edlund , P.-O. 1984 . Identification of the multi-input Box-Jenkins transfer function model . J. Forecasting , 3 : 297 – 308 .
   Web of Science ®Google Scholar
• Granger , C.W.J. and Newbold , P. 1977 . Forecasting Economic Time Series , New York : Academic Press .
   Google Scholar
• Hannan , E.J. 1963 . “ Regression for time series ” . In Time series analysis , Edited by: Rosenblatt , M. New York : Wiley .
   Google Scholar
• Hanssens , D.M. and Liu , L.-M. 1983 . Lag specification in rational distributed lag structural models . J. Bus. and Econ. Stat , 1 : 316 – 325 .
   Google Scholar
• Harvey , A.C. 1981 . The Econometric Analysis of Time Series , Deddington : Philip Allan .
   Google Scholar
• Haugh , L.D. and Box , G.E.P. 1977 . Identification of dynamic regres sion (distributed lag) models connecting two time series . J. Am. Stat. Ass. , 72 : 121 – 130 .
   Web of Science ®Google Scholar
• Kanianinen , V. and Tornberg , P. 1983 . Inflation in an Open economy:Tests with Finnish data 1960(I)-198(IV) . Weltwirtschafliches Archiv , 119 ( 2 ) : 317 – 328 .
   Google Scholar
• Koreisha , S.G. and Taylor , S.A. 1985 . Identification of transfer function models:An asymptotic test of significance for the corner method . Comm. Stat, - Theor. Meth , A14 ( 1 ) : 159 – 173 .
   Web of Science ®Google Scholar
• Liu , L.M. and Hanssens , D.M. 1982 . Identification of multiple-input transfer function models . Coram, Stat, - Theor. Meth , A11 ( 3 ) : 297 – 314 .
   Google Scholar
• Poskitt , D.S. and Tremayne , A.R. 1981 . An approach to testing linear time series models . Ann. Stat. , 5 ( 3 ) : 974 – 986 .
   Web of Science ®Google Scholar
• Priestley , M.B. 1971 . Fitting relationships between time series . Bulletin of the ISI, Proceedings of the 38th Session , 44 ( 3 ) : 295 – 324 .
   Google Scholar
• Pukkila , T. 1982 . On the identification of transfer function noise models with several correlated inputs . Scand. J. Stat , 9 ( 3 ) : 139 – 146 .
   Web of Science ®Google Scholar
• Rahiala , M. 1985 . On the Idenfication and Estimation of Multiple Input Transfer Function Models with Autocorrelated Errors , Helsinki : The Research Institute of the Finnish Economy .
   Google Scholar
• Rahiala , M. 1986 . Idenfication and preliminary estimation in linear transfer function models . Scand. J. Statist , 13 ( 3 ) : 239 – 255 .
   Google Scholar
• Tsay , R.S. 1985 . Model identification in dynamic regression (distributed lag) models . J. Bus. & Econ. Stat. , 3 ( 3 ) : 228 – 237 .
   Web of Science ®Google Scholar
• Tsay , R.S. and Tiao , G.C. 1984 . Consistent estimates of auto-regressive parameters and extended sample autocorrelation function for stationary ARMA models . J. Am. Stat. Ass. , 79 ( 3 ) : 84 – 96 .
   Web of Science ®Google Scholar
• Whittle , P. 1951 . Hypothesis Testing in Time Series Analysis , Uppsala : Almqvist &Wicksell .
   Google Scholar