TY - JOUR
AU - Box, G. E. P.
AB -  Abstract A methodology is introduced for identifying dynamic regression or distributed lag models relating two time series. First, specification of a bivariate time-series model is discussed, and its relationship to the usual dynamic regression model is indicated. Then, a two-stage identification procedure is presented which involves fitting univariate time-series models to each series, and identifying a dynamic shock model relating the two univariate model innovation series. The models obtained at these two stages are combined to identify a dynamic regression model, which may then be fitted in the usual ways. Two systems of economic time series illustrate the methodology. 
TI - Identification of Dynamic Regression (Distributed Lag) Models Connecting Two Time Series
JF - Journal of the American Statistical Association
DO - 10.1080/01621459.1977.10479920
DA - 1977-03-01
UR - https://www.deepdyve.com/lp/taylor-francis/identification-of-dynamic-regression-distributed-lag-models-connecting-v5YILiQzIE
SP - 121
EP - 130
VL - 72
IS - 357
DP - DeepDyve
ER -