Almon distributed lag

Updated: Aug 20, 2021

A version of a restricted lag model in which the lag coefficients are parameterized as polynomial functions. This model allows the capture of delayed or non-monotonic impact of lagged variables upon the dependent variable and is used mostly for relatively short time series with long lags. The major drawback, common for restrictive functional forms, is the induced autocorrelation.

Reference: Oxford Press Dictonary of Economics, 5th edt.

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