文章基本信息

标题：THE FIRST MOMENT OF AN ORDINARY LEAST SQUARES ESTIMATE FOR BIVARIATE KOYCK DISTRIBUTED LAG MODELS
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作者：YUSAKU KATAOKA ; HIROSHI MIYASHITA ; KIMIO MORIMUNE 等
期刊名称：季刊　理論経済学
印刷版ISSN：0557-109X
电子版ISSN：2185-4408
出版年度：1990
卷号：41
期号：3
页码：205-220
出版社：The Japanese Economic Association
摘要：A class of models generalizing Koyck distributed lag models is applied to the problem of measuring market response Y_t to a communications mix Z_t-s consisting of media advertising or promotional expenditures. Rewriting these models as Y_t =α Y _t-1+β Z_t +error term, α: 2×2, an ordinary least squares (OLS) estimate of α is obtained and the analytical expression for the first moment of an OLS estimate is derived under the assumption that Y_t is normally and independently distributed. These results, in combination with an asymptotic expansion of the generalized hypergeometric function, yield a new approximate first moment formula for the OLS estimate.