ECONOMETRICSIII Dynamic Econometrics Models References 1 Basic Econometrics

ECONOMETRICS-III Dynamic Econometrics Models

References 1. Basic Econometrics (5 th Edition): Chapter 17 By Damodar N. Gujrati and Dawn C. Porter 2. Applied Econometrics (3 rd Edition): Chapter 10 By Dimitrios Asteriou and Stephen G. Hall

Contents v Introduction v. Distributed Lag Models v. Autoregressive models v. Autoregressive Distributed Lagged Models

Introduction Dynamic Versus Static Models § The models which are directly considering time factor are usually called dynamic. § In static models, the time factor is not explicitly considered. § A dynamic model represents the behavior of an object over time. § A static model represents the behavior of an object at a specific point of time.

Introduction Dynamic and Static Econometric models § The Dynamic econometric models represent the relationship of variables over time. § The Static econometric models represent the contemporaneous relationship of variables.

Introduction Dynamic Econometric models

Introduction Dynamic Econometric models Autoregressive Models Distributed Lag Models Autoregressive Distributed Lag Models

Introduction

Introduction § § In most of the real-world economic situations a change in explanatory variable effects dependent variable with a lapse of time. These lagged effects of explanatory variables are captured by distributed lag models.

Introduction § Some examples discussed in refence (1) are: • Example 17. 1: Consumption Function • Example 17. 2: Creation of Bank Money (Demand Deposits) • Example 17. 3: Link between Money and Prices • Example 17. 4: Lag between R&D Expenditure and Productivity • Example 17. 5: The J curve of International Economics