On estimating long-run effects in models with lagged dependent variables
Sign Up to like & getrecommendations! Published in 2017 at "Economic Modelling"
DOI: 10.1016/j.econmod.2017.04.006
Abstract: This note points out the hazards of estimating long-run effects from models with lagged dependent variables. We use Monte Carlo experiments to demonstrate that this practice often fails to produce reliable estimates. Biases can be… read more here.
Keywords: lagged dependent; estimating long; run effects; effects models ... See more keywords
Nonparametric identification of discrete choice models with lagged dependent variables
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DOI: 10.1016/j.jeconom.2019.08.005
Abstract: Variation in covariates can be used to nonparametrically identify a discrete choice model with a lagged dependent variable and discrete unobserved heterogeneity (Kasahara and Shimotsu, 2009; Browning and Carro, 2014). In some cases the number… read more here.
Keywords: lagged dependent; identification discrete; identification; discrete choice ... See more keywords
To Lag or Not to Lag?: Re-Evaluating the Use of Lagged Dependent Variables in Regression Analysis*
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DOI: 10.1017/psrm.2017.4
Abstract: Lagged dependent variables (LDVs) have been used in regression analysis to provide robust estimates of the effects of independent variables, but some research argues that using LDVs in regressions produces negatively biased coefficient estimates, even… read more here.
Keywords: lagged dependent; regression analysis; regression; dependent variables ... See more keywords