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Working Paper
Lag-length selection criteria: empirical results from the St. Louis equation
This article describes and compares six criteria for determining the lag length of finite distributed lag models. These criteria are employed to select the lag length of the distributed lag variables within the St. Louis equation using a computationally efficient procedure. The lag lengths chosen are tested against each other and against arbitrarily overfitted and underfitted specifications. The results suggest that Akaike's final prediction error criterion and Pagano and Hartley's procedure perform well relative to the other criteria considered.
Working Paper
What do Almon's endpoint constraints constrain?
In this paper we show that Almon's (1965) endpoint constraints do not constrain the endpoints, as commonly thought. In particular, the endpoints are not constrained to equal zero. Consequently, these constraints have neither a basis in economic theory nor the econometric justification frequently ascribed to them.
Journal Article
Are monetarists an endangered species?
Working Paper
Complete results for lag length selection
This paper presents the detailed results of employing the various lag-length-selection criteria outlined in "Lag Length Selection Criteria: Some Empirical Results for the St. Louis Equation.'' Tables 1 through 6 are for a maximum lag of 8; tables 7 through 12, a maximum lag of 12; and tables 13 through 18, a maximum lag of 16. Table 19 contains the likelihood ratio test results of all the alternative lag specifications considered.
Working Paper
Selecting an intermediate target for monetary policy