你指的是PDL吗?假定因变量是y,自变量为x1和x2.
步骤如下:
(1)根据信息准则,选择最优滞后期和最优多项式的幂次,决定是否施加远近端约束。
(2)估计PDL。
例子:
选用eviews自带数据cs.wf1.
创建如下语句equation mypdl.ls gdp c pdl(cs,3,2) pdl(inv,4,2,3)
show mypdl
在估计结果中mypdl,stats得到估计结果,在representation中得到估计式的具体形式。
(选择细节略)。注意:PDL虽然用多项式形式代替自变量的滞后项而节约了自由度,但只是一个非常粗略的近似算法。而且选择最优滞后期和最优多项式的幂次,决定是否施加远近端约束等问题没有具体的解决办法!
以下是PDL的一些细节问题:
The PDL specification must be provided in parentheses after the keyword pdl in the following
order: the name of the series to which to fit a polynomial lag, the number of lags to
include, the order (degree) of polynomial to fit, and an option number to constrain the
PDL. By default, EViews does not constrain the endpoints of the PDL.
The constraint options are:
1 Constrain the near end of the distribution to zero.
2 Constrain the far end of the distribution to zero.
3 Constrain both the near and far end of the distribution
to zero.