st: PDL

[Kit Baum <baum@bc.edu>]

Amaranta said, in re PDL ("Almon") lags:

Thanks so much, now I have the article.
But a question remains open: How to choose
the order of the polynomial to
represent the lag weights?
In the article it is just assumed.


The order of a PDL, relative to the lag length, indicates the  
strength of constraints placed on an unrestricted DL specification.  
I.e. 12 lags would require 12 coefficients, unconstrained, but only  
three if a 2d order PDL is fit (depending on endpoint constraints). A  
3d order PDL would be less restrictive. As a 2d degree polynomial can  
have only one inflection point, this restricts the shape of lags you  
can get from a quadratic PDL. A cubic allows two inflection points,  
and so on. It would probably be sensible to apply a relatively high  
order PDL (not imposing many constraints on the DL form) and then  
"test down" to a more parsimonious degree if the data are compliant.


Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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