Wednesday, December 28, 2016

More on the History of Distributed Lag Models

In a follow-up to my recent post about Irving Fisher's contribution to the development of distributed lag models,  Mike Belongia emailed me again with some very interesting material. He commented:
"While working with Peter Ireland to create a model of the business cycle based on what were mainstream ideas of the 1920s (including a monetary policy rule suggested by Holbrook Working), I ran across this note on Fisher's "short cut" method to deal with computational complexities (in his day) of non-linear relationships. 
I look forward to your follow-up post on Almon lags and hope Fisher's old, and sadly obscure, note adds some historical context to work on distributed lags."
It certainly does, Mike, and thank you very much for sharing this with us.

The note in question is titled, "Irving Fisher: Pioneer on distributed lags", and was written by J.N.M Wit (of the Netherlands central bank) in 1998. If you don't have time to read the full version, here's the abstract:
"The theory of distributed lags is that any cause produces a supposed effect only after some lag in time, and that this effect is not felt all at once, but is distributed over a number of points in time. Irving Fisher initiated this theory and provided an empirical methodology in the 1920’s. This article provides a small overview."
Incidentally, the paper co-authored with Peter Ireland that Mike is referring to it titled, "A classical view of the business cycle", and can be found here.

© 2016, David E. Giles


  1. Hi Dave: I bet you know of it but just in case it may be of use to others "Distributed lags and investment analysis" by L.M Koyck covers some of Fisher's ideas also. Happy Holidays and thank for the best econometrics blog around.

  2. Dave, you have put out more posts at Christmas than any other period.

    Don't you have a holiday?

    1. Have to do something when it's snowing!

  3. why didn't eviews 9 don't give diagnostic tests for both long run and short run dynamics ?

    1. Why don't you check with the people at EViews. (I don't work for them.)