The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
August 15, 2022
Econometrica: Jan, 1965, Volume 33, Issue 1
https://doi.org/0012-9682(196501)33:1<206:TEORID>2.0.CO;2-R
p. 206-224
E. J. Hannan
The estimation of the influence of an (infinite) weighted sum of all lagged values of one economic variable upon another is considered. The asymptotic distributional properties of a simple estimation procedure are derived under very general conditions. Efficient estimates, using spectral methods, are derived and their asymptotic distributions obtained. Tests for validity of the model and estimation procedures for more general models are discussed. Vector models, small sample situations, and the relevance of the models used are discussed.
