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Autoregressive and Distributed-Lag Model

Autoregressive and Distributed-Lag Model. Agung Harjaya Buana Budi Suhendar Krismiyati Yogi Sugiawan Yusuf Wicaksono. background. introduction. Basic questions. What is the role of lags in economics? What are the reasons for the lags?

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Autoregressive and Distributed-Lag Model

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  1. Autoregressive and Distributed-Lag Model AgungHarjayaBuana Budi Suhendar Krismiyati Yogi Sugiawan Yusuf Wicaksono

  2. background

  3. introduction

  4. Basic questions • What is the role of lags in economics? • What are the reasons for the lags? • Is there any theoretical justification for the commonly used lagged models in empirical econometrics? • What is the relationship, if any, between autoregressive and distributed lag models? Can one be derived from the other? • What are some of the statistical problems involved in estimating such models? • Does a lead-lag relationship between variables imply causality? If so, how does one measure it?

  5. Mind map

  6. The role and reasons for LAGS in economic

  7. Role of time (LAG) in economics

  8. Role of time (LAG) in economics

  9. Reasons for lags

  10. Estimation of distributed-lag models (1)

  11. Estimation of distributed-lag models (2)

  12. The koyck approach to distributed-lag model

  13. The koyck model

  14. koyck transformation (1)

  15. koyck transformation (2)

  16. Rationalization of the koyck model

  17. The adaptive expectations model

  18. The stock adjustment, or partial adjustment, model

  19. The stock adjustment, or partial adjustment, model The gradual adjustment due to rigidities

  20. Estimation of autoregressive models

  21. estimation of the models

  22. The method of instrumental variable

  23. Detecting autocorrelation in autoregressive models (1)

  24. Detecting autocorrelation in autoregressive models (2)

  25. Almon or polynomial distributed lag (PDL)

  26. Why DO we need PDL? Koyck Scheme Almon Polynomial-Lag Scheme

  27. Illustration of almon techniques (1)

  28. Illustration of almon techniques (2)

  29. Illustration of almon techniques (3)

  30. Problems before applyingalmon technique

  31. Causality in economics: granger causality test

  32. Regression involving time series data

  33. The granger test

  34. Steps for doing granger causality test (1)

  35. Steps for doing granger causality test (1)

  36. Notes on granger causality test

  37. Causality and exogeneity

  38. Conclusions

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