The Times Series Regression with Multiple Predictors A $\operatorname { ADL } ( p , q )$

question 26

Short Answer

The Times Series Regression with Multiple Predictors a. is the same as the $\operatorname { ADL } ( p , q )$ with additional predictors and their lags present.
b. gives you more than one prediction.
c. cannot be estimated by OLS due to the presence of multiple lags.
d. requires that the $k$ regressors and the dependent variable have nonzero, finite eighth moments.

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