L27 - Autoregressive Distributed Lag Models Flashcards
1
Q
What is a Lag operator?
A
- it’s useful as it allows us to manipulate the model to get their dynamic roots
2
Q
Example of calculating the rational distributed lag model?
A
3
Q
What is the ARDL model?
A
- it is different from the ration distributed lag model as we have assumed the error process in this model is just white noise (doesn’t have structure)
4
Q
How can you write the ARDL model using L notation?
A
- With the L notation we can now group the Y’s and simplify the model
5
Q
Example of the ARDL model with L notation?
A
ARDL(1,1) means we have 1 lag on Y and 1 lag on X
6
Q
How can you calculate the long-run effect of X on Y in an ARDL model?
A
(coefficient of Xt + all coefficient on lags of X)/(1 - coefficient on lags of Y)
7
Q
What is the general form of ARDL models?
A
8
Q
ARDL model restrictions for special cases?
A
