* DISTRIBUTED LAG MODELS * Data set from Griffiths, Hill and Judge, (1993), LEARNING AND * PRACTICING ECONOMETRICS, Chapter 21, Table 21.1 * SAMPLE 1 88 READ TIME Y X 1 2072 1767 2 2077 2061 3 2078 2289 4 2043 2047 5 2062 1856 6 2067 1842 7 1964 1866 8 1981 2279 9 1914 2688 10 1991 3264 11 2129 3896 12 2309 4014 13 2614 4041 14 2896 3710 15 3058 3383 16 3309 3431 17 3446 3613 18 3466 3205 19 3435 2426 20 3183 2330 21 2697 1954 22 2338 1936 23 2140 2201 24 2012 2233 25 2071 2690 26 2192 2940 27 2240 3127 28 2421 3131 29 2639 2872 30 2733 2515 31 2721 2271 32 2640 2711 33 2513 2394 34 2448 2457 35 2429 2720 36 2516 2703 37 2534 2992 38 2494 2516 39 2596 2817 40 2572 3153 41 2601 2756 42 2648 3269 43 2840 3657 44 2937 3941 45 3136 4123 46 3299 4656 47 3514 4906 48 3815 4344 49 4040 5080 50 4274 5539 51 4565 5583 52 4838 6147 53 5222 6545 54 5406 6770 55 5705 5955 56 5871 6015 57 5953 6029 58 5868 5975 59 5573 5894 60 5672 5951 61 5543 5952 62 5526 5723 63 5750 6351 64 5761 6636 65 5943 6799 66 6212 7753 67 6631 7595 68 6828 7436 69 6645 6679 70 6703 6475 71 6659 6319 72 6337 5860 73 6165 5705 74 5875 5521 75 5798 5920 76 5921 5937 77 5772 6570 78 5874 7087 79 5872 7206 80 6159 8431 81 6583 9718 82 6961 10921 83 7449 11672 84 8093 12199 85 9013 12865 86 9752 14985 87 10704 16378 88 11597 12680 * Estimation with a lag length of 8 periods OLS Y X(0.8) * (1) Estimation with a polynomial of degree 2 OLS Y X(0.8,2) * (2) Endpoint restrictions on left side OLS Y X(0.8,2,1) * (3) Endpoint restrictions on right side OLS Y X(0.8,2,2) * * Now incorporate the restrictions with the use of the RESTRICT option * DO #=1,8 GENR X#=LAG(X,#) ENDO * (1) Estimation with a polynomial of degree 2 SAMPLE 9 88 OLS Y X X1-X8 / RESTRICT RESTRICT X -3*X1+3*X2-X3=0 RESTRICT X1-3*X2+3*X3-X4=0 RESTRICT X2-3*X3+3*X4-X5=0 RESTRICT X3-3*X4+3*X5-X6=0 RESTRICT X4-3*X5+3*X6-X7=0 RESTRICT X5-3*X6+3*X7-X8=0 END * (2) Endpoint restrictions on left side OLS Y X X1-X8 / RESTRICT RESTRICT -3*X+3*X1-X2=0 RESTRICT X -3*X1+3*X2-X3=0 RESTRICT X1-3*X2+3*X3-X4=0 RESTRICT X2-3*X3+3*X4-X5=0 RESTRICT X3-3*X4+3*X5-X6=0 RESTRICT X4-3*X5+3*X6-X7=0 RESTRICT X5-3*X6+3*X7-X8=0 END * (3) Endpoint restrictions on right side OLS Y X X1-X8 / RESTRICT RESTRICT X6-3*X7+3*X8=0 RESTRICT X -3*X1+3*X2-X3=0 RESTRICT X1-3*X2+3*X3-X4=0 RESTRICT X2-3*X3+3*X4-X5=0 RESTRICT X3-3*X4+3*X5-X6=0 RESTRICT X4-3*X5+3*X6-X7=0 RESTRICT X5-3*X6+3*X7-X8=0 END STOP