Lag Specification in Rational Distributed Lag Structural Models
有理分布滞后结构模型中的滞后设定
This article presents methods for the preliminary specification of distributed lags in structural models in the absence of sufficient a priori information. It is argued that an instrumental-variables procedure produces good results as long as the goodness of fit in the instrument equations is satisfactory. When this is not the case, simple OLS specification is preferable to more complex instrumental-variables methods, even though it may produce some spurious parameters. The…