Distributed Lags, Aggregation and Compounding: Some Econometric Implications
借鉴Houthakker和Johansen的思路，考虑离散分布滞后的加总问题，证明计量经济学中常见的分布滞后模型源于异质性微观单位的加总，并讨论如何将宏观分布滞后分解为微观反应和反应异质性两部分。
This paper considers the aggregation of discrete distributed lags in the spirit of Houthakker and Johansen. Well-known distributed lag models in econometrics are shown to arise from aggregation across heterogeneous microeconomic units. The technique of analysis is based on the statistical theory of compound distributions. The paper goes on to consider how consistently estimated macro distributed lags may be decomposed into two components which represent, respectively, the microeconomic response and the heterogeneity in that response. Related problems of identification and estimation and the interpretive value of the approach are also discussed and illustrations provided.