( )- 7 -..

( )

/

-----------------------------------------------------------:

( )Lagged variables

Abstract:
Many economic studies confirm the importance of the adoption of time trend in
the interpretation of economic phenomena, including investment functions. Time
trend could be included in this type of economic functions through the employ of
Lagged variables, which can lead to a accurate comparisons between the projects
and economic sectors to show the scale of reaction to changes in different
economic variables.

------------------------------------------------------ ,
:



(

.-8 - ( )

(Distribution

(Distribution

)Koyck

)Almon

.
.

( )X

( )t,t-1,t-2,

(.)Dynamic Model

()Lagged Variables

- 1
:

(, )Static (

)
.

)
( )

(. )Distributed Lags

( )Y ,

( )X ,

( )X
.

( )Y

()Y

(Variables

. )Lagged

( )

 ( )- 9 -..

(.)1

-:

)Technical

Yt=ft(Xt,Xt-1,Xt-2,.)+Ut
.t=1,2,3,

Yt=a+b0Xt +b1 Xt-1 +b2 X2-1++Ut

+Ut

Xt-j

bj

Yt = a+
)j=(0-

( )a,b

( )Institutional

() ( )m

)distributed

lag model

( Finite

( )Psychologycal

-:

- 1 (

- 2
- 3

lag

distributed

General

).

)model (

)Y

( )X -:

.-10 - ( )

- :

-:

,
(

Comparative

)static

-2 :

()Ct=f(Ct-1,Ct-2,,Yt,Yt-1,Yt-2,X1t,X2t

: =( , )Y
=(

=(,)C

)X2t()X1t

(:)2

:
( ,...

) It=f(Xt +Xt-1 +Xt-2 , t ,Kt-1,rt

: =, t =(Xt

) ,=

It

=(, )rt =() Kt-1

- :

,
:

:=

()Qt =f( Qt-1 , Yt ,Pt ,.

Yt

,=, Pt

=Qt

- (:

Exogenous

)lagged variables

( )Y
( )X

(, )S

( )X :

( )Y

Yt=a+b0Xt +b1 Xt-1 +.+bs Xt-s+Ut

( )Multicollinearity

 ( )- 11 -..

()

(.)Wi

( )S.Almon

(:)3

(:)4

()S

( )bi

( )( )Polynomial
( )r (

polynomial lag

Finite

)length

b0=f(0) =a0
b1=f(1)=a0+a1+a2+a3+.+ar
b2=f(2)=a0+2a1+22 a2+23 a3+.+2r ar
b3=f(3)=a0+3a1+32 a2+33 a3+.+3r ar

...........................................
bs=f(s)=a0+sa1+s2 a2+s3 a3+.+sr ar

( )b

()a
:

Yt =ao Wo+a1 W1+a2 W2 +.+ar Wr +Ut

( )Wi

( )r+1 :

Wo =Xt +Xt-1 +Xt-2 +.+Xt-s

W1=Xt-1+2 Xt-2+3 Xt-3 +.+s Xt-s
W2 =Xt-1 +22 Xt-2 +32 Xt-3 +.+s2 Xt-s
W3= Xt-1 +23 Xt-2 +33 Xt-3+.+s3 Xt-s
..
Wr= Xt-1 +2r Xt-2 +3r Xt-3+.+sr Xt-s

( )W0

( )1

( )W2,W3,Wr

( )W1 ()0,1,2,3,.,s

- 1

( )W1

( )b ( )S+1

( )S ,
:

Yt=b0Xt +b1 Xt-1 +.+bs Xt-s+Ut

( )b

( )r

( b ao+ a1 z+a2 z2 + a3 z3 + +ar zr

)) f(Z

( )Z

( )0,1,2,.,s

( )b :

( )2,3,r .

()W ( )b
:

Yt=ao Xt+(ao+a1+a2+.+ar)Xt1+(ao+2a1+22 a2+.+2r ar)Xt2+(ao+3a1+32 a2+.+3r ar )Xt3+.+(ao+s1 a1+s2 a2+.+sr ar)Xt-s

+Ut

()Wi
:

Yt=ao Wo+a1 W1+a2 W2+.+ar

Wr+Ur

( )a
(

)b

.-12 - ( )

( , )b0,b1,b2,.,bs

-:

- ()Mean lag

) ML= ibi (i=0-

- (

lag

Variance

of

)distribution

-2

()Endogenous lagged variables

()Koyck distribution ( )6

:
) (i=0-

VL= bi .i -ML
2

)r=2

( )a=3

)(1

Yt=ao+ bo Xt+b1 X t-1+b2Xt-2+..+Ut

.b1=bo

0<<1

.b2=2 bo
.b3=3 bo

:
Yt=ao+ bo Xt+ bo X t-1+ 2 bo Xt-2+..+Ut

)(2

:
)(3

bo Xt-3+..+Ut-1

Yt-1=ao+ bo Xt-1 + bo X t-2+

( )3( ) ( )2 :
Vt =Ut -Ut-1

( )

:
Yt=bo Xt + Yt-1 +Vt

Yt=ao (1-)+bo Xt +Yt-1 +Vt

 ( )- 13 -..

(Koyck

, )transformation

.bo =a(1-):

( )Xt
( )Yt

)aWo=a(1-

()Short run impact

( )Xt

( )Yt

( )Yt-1

(.) 0<<1

( )Long run impact

( )X ( )Y :

).a= a(1-)/ (1-)=bo/ (1-

( )Mean lag
)Mean Lag=/(1-

( )
,

Median Lag=log(0.5)/log
( Variance of lag

)distribution (: )7

.VL= /(1- )2

( )Yt-1
:

Wi=(1- )
i=0,1,2,3,..
i

( )Wi .

)Xt-i

( )Yt-1

( :) 8

-1

:
( )Autocorrelation
Vt=Ut-Ut-1

-2 ( )Yt-1

(. )Vt

- 3

( )D-W

- 4

Yt=bo +b1 Yt-1+b2 Xt+ Vt

.
( )Vt .

- 1 -: ( )V
.

- 2 -: ( )V
:

Vt=Ut- Ut-1

- 3

: ( )V

)(i j

( )Xt()Xt-i

( )Median Lag :

( )Yt-1 ( )Xt

Vt= Vt-1 +t:

) ~ N(0 , 2

.-14 - ( )

-2 ( )Vt .

( )OLS

( )GLS

) :

( OLS

(Yt Yt-1) =b0+b2 Xt+ Vt

( ) ( )Yt-1
.

) ,

,
model

Stock

)adjustment

Yt =bo Xt +(b1 bo) Xt-1 +(b2 b1)Xt-2

) +Yt-1 +( Ut-Ut-1

( )Xt-1 ( )Yt-1

(( )9

:
( )i

( )

( ) 1985 - 1971

.
-1 :

()It

( )It-1
:

 ( )- 15 -..

:
()

=()It

()Jt

=()It-1

It =f (J
) t , It-1

.It =a (1- ) Jt + It-1 + Ut

:
-

()IR

IRt =4.13 +0.43 JRt +0.55 IRt-1

)(5.95
F=235.29

( )97%

)(t

)(4.82

R =0.97 =0.96 D-W 1.56

2

r=0.98

)Mean lag = /(1- )=0.55/(1-0.55

=1.2

( )%1 ( )t

( )2.65
:

1.2x(12)=14.7 15

- (:)Median lag

- :

( )JRt

( )0.43 (

Variance lag = /(1 )2= 0.55/ (1-0.55)2=2.7

:Wi= (1- ) i
W0=(1-0.55)(0.55)0=0.45
W1=(1-0.55)(0.55)1=0.25
W2=(1-0.55)(0.55)2=0.14
W3=(1-0.55)(0.55)3=0.07

) . ( )0.43

- (: )a

0.96 a=a(1- )/(1-

( )70%

) )= 0.43/(1-0.55

- (: )Mean lag

)Log (0.5)/log =log 0.5 /log(0.55

Median lag = =1.2
(:)Variance lag

-:

IRt =4.13+0.43 JRt +0.45 JRt1+0.25 JRt-2 +0.14 JRt-3+0.07JRt-4

.-16 - ( )

Wi

( :)2

R2=0.84 2=0.81 D-W =1.97

r=0.91

( )%0.84

,.

( )%5 ( )t ( )1.771

-:

-
(:)IQ

IQt =107.05+0.46 JQt +0.31JQt-1

)(t
)(0.3.38) (1.81

.
- :

( )0.46

 ( )- 17 -..

:Wi= (1- )
W0=(1-0.31)(0.31)0=0.69
W1=(1-0.31)(0.31)1=0.21 :W2=(10.31)(0.31)2=0.07
i

:a=a(1- )/(1- )= 0.46/(1-0.31)=0.07

( )0.7.

( )%90

- -:

Mean lag = /(1- )=0.31/(1-0.31) =0.4

-:

) 0.4 x(12

IQt =107.05+0.46 JQt +0.69JQt1+0.21 JQt-2 +0.07JQt-3

- :

Median lag= log(0.5) / log (0.31) =0.6

-:

- :

VL= /(1- ) = 0.31/ (1-0.31)2=0.65

2

Wi

.-18 - ( )

( :)3

( )JQ

( :)1

( )IR ()IQ
**

d-w

R2
2

Var.

Median
lag

Mean
lag

w3

w2

w1

wo

0.96

0.43

1.56

0.7

0.46

1.97

0.97
0.96
0.84
0.81

2.7

1.2

1.2

0.07

0.14

0.25

0.45

0.65

0.6

0.4

---

0.07

0.21

0.69

0.55
(5.95
0.31
)(1.81

)a(1-
t
0.43
)(4.82
0.46
)(3.38

sector

IRt
IQt

*=Short run impact

**= Long run impact

: .
-2 :

( )r=2

( . )s=3
:

( )b

.bo= ao
.b1=ao +a1 + a2
2
.b2=ao +2a1 +2 a2
.b3=ao +3a1 +32 a2

( )r+1=3 :

Wo=Jt+Jt-1+Jt-2+Jt-3
W1=Jt-1+2Jt-2+3Jt-3
W2=Jt-1+22 Jt-2+32 Jt-3

It=bo Jt +b1 Jt-1 +b2 Jt-2 +b3 J t-3 +Ut

:
: =Jt

=It

It =ao wo+a1 w1+a2 w2+Ut

 ( )- 19 -..

r=0.98

(-72

:)1985

R2=0.97 2=0.97 D-W =1.73

F=195.26

(:)IRt

( )W0 ,W1 ,W2 .

( )%97

( )b

( )a -:

IRt =-2.65 +0.38 Wo +0.26 W1 0.16 W2

)(-3.92

)(2.23

)(2.83

)(t

.bo= ao =0.38
.b1=ao +a1 + a2 =0.38+0.26-0.16=0.48
2
.b2=ao +2a1 +2 a2 =0.38 +2(0.26) -4(0.16) =0.26
.b3=ao +3a1 +32 a2 =0.38 +3(0.26) -9(0.16) =- 0.28
( )b3

( )JRt-3
,

( )bo,b1,b2
-:

IRt = -2.65 +0.38JRt + 0.48 JRt-1 +0.26

JRt-2

0.38

-:

.-20 - ( )

bi

t-2

t-1

(:)4

( )Wo,W1,W2

()IQ

-:

IQt =108.24 +0.29 Wo +0.35 W1 0.19 W2

)(t
)(2.06
)(2.57) (-4.17
R2=0.87 2=0.83 D-W =2.38 r=0.93 F=31.66

( )t ( )0.05

( , )IQ

( )a -:
.bo= ao =0.29

( )%0.87

, ( )b

.b1=ao +a1 + a2 =0.29+0.35- 0.19=0.45

2
.b2=ao +2a1 +2 a2 =0.29 +2(0.35) -4(0.19) =0.23
.b3=ao +3a1 +32 a2 =0.29 +3(0.35) -9(0.19) =- 0.37

( )bo ,b1 ,b2 -:

IQt = 109.24 +0.29JQt + 0.45 JQt-1 +0.23 JQt-2

 ( )- 21 -..

JQt-3

)JQt-1( , )JQt-2

( )b3 .

( )0.29 ,

-:

bi

t
t-2

t-1

( :)5

(:)2 ( )Almon

Var. of lag dist.

Mean lag

D-W

0.52

0.98

1.73

0.54

0.91

0.93

R2
R2
0.97

( )IR()IQ

b2

b1

bo

Sector

0.26

0.48

o.38

IR

0.97
0.87
0.83

: .

0.32

0.45

0.29

IQ

.-22 - ( )

-4
-:

( :)3

()IR ()IQ
bo

b3

b2

b1

0.14

0.25

0.43 0.45

\
IR/ Koyck

0.26 -----

0.48

0.21

0.69

IR/ Almon 0.38

IQ/ Koyck 0.46

0.32 -----

0.45

IQ /Almon 0.29

0.07

%38

)%29

( ).

( )%46

-:

( ) )%43

 ( )- 23 -..

-----------

( :)6 ( )IR

-----------

( :)7 (

.
:

)IQ

.-24 - ( )

-:
:
- 1

- 2

( )%43 ( )%38

- 3

- 4

%29 )%46

- 5

( %69 )%45 ,

- 6

( )R
2

( , ) %97
(

)%87

( )%84 .

- 7

- 8

- 9

 ( )- 25 -..

- 1
IRt-1
22.9

JR
49.3

W2
-----

W1
-----

Wo
-----

IR
28.9

T
1971

28.9

29.3

353.4

170.2

109.3

31.3

1972

31.3

37.8

598.7

244.3

130.5

33.9

1973

33.9

78.1

493.0

241.6

194.5

47.8

1974

47.8

99.9

752.5

369.5

245.1

81.6

1975

81.6

174.4

1276.9

608.5

390.2

131.1

1976

131.1

243.8

1840.5

892.3

596.2

175.6

1977

175.6

388.6

2933.4

1399.4

906.7

213.3

1978

213.3

421.6

4170.2

1930.2

1228.4

315.8

1979

315.8

500.6

5684.4

2509.6

1554.6

452.0

1980

452.0

631.9

6428.7

2897.9

1942.7

549.4

1981

549.4

705.8

7738.8

3471.4

2259.9

607.2

1982

607.2

536.4

9046.7

3843.7

2374.7

507.5

1983

507.5

508.1

9005.9

3698.3

2382.2

505.7

1984

505.7

347.4

7207.4

2972.8

2097.7

483.2

1985

- 2 :
IQt-1

JQ

W2

W1

Wo

IQ

50.00

35.90

-----

-----

-----

53.8

1971

53.8

22.2

355.7

159.1

98.2

63.5

1972

63.5

66.3

478.2

220.2

145.5

99.8

1973

99.8

184.1

649.1

385.1

308.5

203.3

1974

203.3

299.2

1632.3

868.1

571.8

329.1

1975

497.1 329.1

3350.8

1649.6

1046.7

405.1

1976

405.1

604.9

5286.1

2498.5

1585.3

484.3

1977

484.5

636.3

7529.8

3339.2

2037.5

510.1

1978

510.1

658.5

8647.8

3747.6

2396.8

748.6

1979

148.6

691.2

9051.9

3918.9

2590.9

659.6

1980

659.6

1254.2

9945.5

4613.9

3240.2

872.6

1981

872.6

1207.6

12445.2

5791.4

3811.5

977.9

1982

977.9

845.5

16963.7

7025.1

3998.5

758.1

1983

758.1

484.2

14734.6

5799.8

3791.5

427.7

1984

427.7

287.9

9774.2

3734.6

2765.2

604.1

1985

.-26 - ( )

-:

-10

( )IQ,IR

- -

( )1988 ,1986 -1957

-11

( )JQ,JR , ,
.

- ( )Wo,W1,W2

-8 , -:
Koutsoyiannis. , A., op. cit. ,pp. 296 98.
9- Intriligator, m.d., Econometrics Models
Techniques &Applications ,North Holland
Publishing co.,1978,p.183.
-10 - -
(. 1988,)1986 -1957
-11 ,
.
12- Wallis ,K.F. ,Topics in Applied
Econometrics , Gray Mills Publishing
LTD.,1973.

- ()IQt-1,Irt-1

1- Kuh E.&Schmalensee R.S.,An Introduction

to Applied Macroeconomics ,North Holland
Publishing .Co,1973,p.15
2Pyndyck,R.S.,&Rubinfeld
,D.L.,Econometric Models and Economic
Forecasts,Mc-Graw Hill,Inc.,1976,pp. 220-

25.
-3
:
Koutsoyiannis , A., Theory Of Econometrics ,
The pitman press , Bath 1973 ,pp. 287 88 .
4- Almon , S., The distributed lag between
capital
appropriations
and
expenditures,Econometrica,vol.33, 1965 ,pp.
178 96 .

- 4 -:
Juszczak w. prymaka K., Wykorzystanie
modeli rozlozonych opoznieniach do opisu
przebiegu cyklu inwestycyjnego , studia

,Vol,22.1979
,Polska.

Economiczne

prawno

6- Koyck ,L.D, .Distributed Lags And

Investment Analysis, North Holland
publics hing co.,1954 .
7- Kuh E.,&schmalensee, R., op. cit.,p.24.