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A note on distributed lags, prediction, and signal extraction

Grether, David M. (1977) A note on distributed lags, prediction, and signal extraction. Econometrica, 45 (7). pp. 1729-1734. ISSN 1468-0262. http://resolver.caltech.edu/CaltechAUTHORS:20171127-150123402

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Abstract

A wide variety of economic models include as explanatory variables either expectational variables or variables representing the result of some decision-making process. The first category includes both expectations about the future values of variables, e.g., next period's sales, the level of unemployment two quarters ahead, etc. and other subjective variables such as permanent income or the "normal" level of prices and interest rates. Examples of the second type are "desired" capital stock, planned production, or inventory accumulation, and so on.


Item Type:Article
Related URLs:
URLURL TypeDescription
https://doi.org/10.2307/1913963DOIArticle
http://www.jstor.org/stable/1913963JSTORArticle
http://resolver.caltech.edu/CaltechAUTHORS:20171027-143719274Related ItemWorking Paper
Additional Information:© 1977 The Econometric Society. Manuscript received April, 1976;final revision received January, 1977. Formerly SSWP 123.
Subject Keywords:Time series forecasting, Polynomials, Objective functions, Forecasting models, Least squares, Degrees of polynomials, Forecasting techniques, Period costs, Economic expectations, Inventories
Record Number:CaltechAUTHORS:20171127-150123402
Persistent URL:http://resolver.caltech.edu/CaltechAUTHORS:20171127-150123402
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:83463
Collection:CaltechAUTHORS
Deposited By: Jacquelyn Bussone
Deposited On:27 Nov 2017 23:27
Last Modified:27 Nov 2017 23:27

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