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Lecture Undergraduate econometrics, 2nd edition - Chapter 15: Distributed lag models

In this chapter we focus on the dynamic nature of the economy, and the corresponding dynamic characteristics of economic data. We recognize that a change in the level of an explanatory variable may have behavioral implications beyond the time period in which it occurred. The consequences of economic decisions that result in changes in economic variables can last a long time. | Chapter 15 Distributed Lag Models 15.1 Introduction In this chapter we focus on the dynamic nature of the economy and the corresponding dynamic characteristics of economic data. We recognize that a change in the level of an explanatory variable may have behavioral implications beyond the time period in which it occurred. The consequences of economic decisions that result in changes in economic variables can last a long time. When the income tax is increased consumers have less disposable income reducing their expenditures on goods and services which reduces profits of suppliers which Slide 15.1 Undergraduate Econometrics 2nd Edition-Chapter 15 reduces the demand for productive inputs which reduces the profits of the input suppliers and so on. These effects do not occur instantaneously but are spread or distributed over future time periods. As shown in Figure 15.1 economic actions or decisions taken at one point in time t affect the economy at time t but also at times t 1 t 2 and so on. Monetary and fiscal policy changes for example may take six to eight months to have a noticeable effect then it may take twelve to eighteen months for the policy effects to work through the economy. Algebraically we can represent this lag effect by saying that a change in a policy variable xt has an effect upon economic outcomes yt y 1 yt 2 . . If we turn this around slightly then we can say that yt is affected by the values of xt xt.1 xt-2 . or yt fijt Xt-1 Xt-2 . 15.1.1 Slide 15.2 Undergraduate Econometrics 2nd Edition-Chapter 15 To make policy changes policymakers must be concerned with the timing of the changes and the length of time it takes for the major effects to take place. To make policy they must know how much of the policy change will take place at the time of the change how much will take place one month after the change how much will take place two months after the changes and so on. Models like 15.1.1 are said to be dynamic since they describe the evolving economy and