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7:09
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Morten Nyboe Tabor
Introduction to the Autoregressive Distributed Lag (ADL) Model: Stationarity and Dynamic Multipliers
We give an introduction to the autoregressive distributed lag (ADL) model using the simple ADL(1,1) model for illustration. We state the stationarity condition, derive the dynamic multipliers, and show that the dynamic multipliers converge to zero given stationarity of the process.
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