Econometrics term paper ideas

Regressing a macroeconomic variable solely on its own lags like in an AR(p) model might be a quite restrictive approach. Usually, it is more appropriate to assume that there are further factors that drive a process. This idea is captured by models which contain lagged values of the dependent variable as well as contemporaneous and lagged values of other, . exogenous, variables. Again, these exogenous variables should be stationary. For an endogenous variable and an exogenous variable such an autoregressive distributed lag , or ADL, model can be written as

This paper replaces an earlier draft titled "Macroeconomic Switching". There is a second paper, giving methodological details, in the directory reached from this link.

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