Polynomial distributed lag specification.

This expression allows you to estimate polynomial distributed lag specifications in ls or tsls estimation. pdl forces the coefficients of a distributed lag to lie on a polynomial. The expression can only be used in estimation by list.

Syntax

pdl(series_name, lags, order[,options])

Options

The PDL specification must be provided in parentheses after the keyword pdl in the following order: the name of the series to which to fit a polynomial lag, the number of lags to include, the order (degree) of polynomial to fit, and an option number to constrain the PDL. By default, EViews does not constrain the endpoints of the PDL.

The constraint options are:

1 | Constrain the near end of the distribution to zero. |

2 | Constrain the far end of the distribution to zero. |

3 | Constrain both the near and far end of the distribution to zero. |

Examples

ls sale c pdl(order,8,3) ar(1) ar(2)

fits a third degree polynomial to the coefficients of eight lags of the regressor ORDER.

tsls sale c pdl(order,12,3,2) @ c pdl(rain,12,6)

fits a third degree polynomial to the coefficients of twelve lags of ORDER, constraining the far end to be zero. Estimation is by two-stage least squares, using a constant and a sixth degree polynomial fit to twelve lags of RAIN.

tsls y c x1 x2 pdl(z,12,3,2) @ c pdl(*) z2 z3 z4

When the PDL variable is exogenous in 2SLS, you may use “pdl(*)” in the instrument list instead of repeating the full PDL specification.

Cross-references

See
“Polynomial Distributed Lags (PDLs)” for further discussion.