Lag Specification in Rational Distributed Lag Structural Models
提出在缺乏先验信息时，如何初步设定结构模型中的分布滞后。通过模拟和生猪市场实例，比较了工具变量法和普通最小二乘法的效果。
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 procedures are illustrated with a simulated two-equation system and a model of annual supply and price of hogs.