Using the data file phillips5_aus, estimate the equation a. Find the first eight lag weights (delay multipliers)
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Using the data file phillips5_aus, estimate the equation
a. Find the first eight lag weights (delay multipliers) of the infinite distributed lag representation that corresponds to this model. What is the total multiplier?
b. Using a \(5 \%\) significance level, test the hypothesis that the error term in the infinite distributed lag representation follows the \(\mathrm{AR}(4)\) process \(e_{t}=\theta_{1} e_{t-1}+\theta_{4} e_{t-4}+v_{t}\).
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Related Book For 
Principles Of Econometrics
ISBN: 9781118452271
5th Edition
Authors: R Carter Hill, William E Griffiths, Guay C Lim
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