LEAST SQUARES ESTIMATION OF DISTRIBUTED LAG MODELS: RELATIONSHIPS BETWEEN ACTUAL AND FIRST DIFFERENCE EQUATIONS

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