Dear Allstat users.
I'm not an expert user of econometric models, so I'm writing here to
try to catch some feedback in order to do a more refined search of
techniques.
I have the following challenge: theoretically I want to probe if
Y=B0+B1X+B2Xt-i+B3Yt-i+B4Z+Ut.
My dependent variable Y should be explained by X and some lags, by
their own Y lags and some set of explanatory variables included in Z
(there are 4 variables identified).
If my model only had X and its lags, the model required could be the
one related with distributed lags (Koyck, Almon). If my model only had
the lags of Y, then an autorregresive model could be my solution.
The thing is that the combination of lags of Y and X, plus the
introduction of other explanatory variables has prevented me of simple
using an OLS estimation.
Does anybody could suggest me which way of modelling should I start looking at?
thanks!
--
Rodrigo Briceņo
Economist
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SKYPE: rbriceno1087
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