[Limdep Nlogit List] Inverting AR Coefficients

David Tufte tufte at suu.edu
Wed Aug 5 09:25:13 EST 2009

Hoping you folks can help me (I am not getting the support I need 
from one of those **other** software companies).

I have a single ECM equation that I've estimated:

dY = a0 + a1Y(t-1) + a2X(t-1) + a3dY(t-1) + a4dX(t-1)

I can unravel this into something like this:

Y = b0 + b1Y(t-1) + b2Y(t-2) + b3X(t-1) + b4X(t-2)

What I'd like to do is invert the entire AR(2) process and obtain:

Y = c0 + c1X(t-1) + c2X(t-2) + c3X(t-3) + ....

Where ci=f(b1,b2,b3,b4) for i>0

I'd like to produce a sum of the c's from 1 on up to some truncation 
point (which I can do outside of a econometrics package), as well as 
some sort of standard error for that sum (which is where LimDep comes in).

There is an example of this in either Greene's text, or the manual 
(neither of which is handy right now), but the example uses only 1 
lag of Y and X. How do I extend that to this 2 lag case?

Feel free to reference the text or manual (by the time you read this, 
I'll be back in the same room with them).

Also, I'm aware that I'll have to input my own derivatives, but 
figuring out which one goes where is bugging me.


David Tufte
Associate Professor
Department of Economics and Finance
School of Business
Southern Utah University
Cedar City, UT 84720


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