LEAST SQUARES ESTIMATION OF DISTRIBUTED LAG MODELS: RELATIONSHIPS BETWEEN ACTUAL AND FIRST DIFFERENCE EQUATIONS
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The purpose of this paper is to focus on the rigidity model and illustrate some relationships between the typical use of the model and a version of it involving first differences in the dependent variable. These relationships will be extended to least squares estimation of rigidity models. A useful correspondence between least squares estimates of the typical model and the first difference model will be demonstrated.