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almuqaranat bayn sighat hanan watariqat euzum tawzie alairtidad alzzamani fi taqdir muelamat ainmudhaj tawzie alairtidad alzzamani | ||
| Journal of Administration and Economics | ||
| Article 1, Volume 0, Issue 102, 2018, Pages 281-292 | ||
| Abstract | ||
| Distributing lag model is one of the dynamic models which has a wide uses in modeling the dynamic relationships between various phenomena, especially, economic, environmental, and health phenomena. We mean by dynamic relationship is that the effect of the explanatory variable on the response variable is not contemporaneous but it distributed over a period of time. By this kind of models we can modeling the dynamic relationships and estimated the short–run and long–run effects for some variables over others. The problems with the direct least–squares estimation of the lag distributing lag parameters are: first we lose a number of degrees of freedom which equal to the number of lags, so we must be careful in choosing the number of lag times. Second, often there is high multicollinearity among the lagged explanatory variables, and this result in imprecise estimates for the distributed lag parameters. there have therefore been many suggestion in the literature to put some structure on the lag parameters, so we have the strong parametric specification, weak parametric specification, and form – free distributed lag. One of the weak parametric methods is the method which suggested by Hannan in 1963 , which used the frequency domain approach in analysis the distributed lag systems , in this estimated formula Hannan used the spectrum function of the explanatory variable and the cross – spectrum function between the response function and the explanatory , in estimating the distributed lag parameters. Another method of estimating is the moments of lag distribution method which belong to the form-free distributed lag methodology , this method based on estimating linear combinations of the lag parameters instead of estimating the short-run effects β's without doing prior smoothing or imposing any constraints on the lag parameters. The aim of this research is to use the Hannan formula and the moments of the lag distribution method in estimating the parameters of the distributed lag model, which represent the dynamic relationship between stock prices change and trading volume change, for an international company ( Intel corporation ) in Nasdaq stock market , and then make a comparison between these two methods based on goodness of fit criteria . From the analysis of the dynamic relationship between the stock prices and trading volume for the company under research, using three size of samples ( n1 = 252 , n2 = 200 , n3 = 150 ) we get some conclusions, the most important of these conclusions is that , the two estimated methods agreed that there is a dynamic relationship between stock prices change and trading volume change, but they differ in the values of these effects , with positive significant short – run and long – run effects of the trading volume , and the estimated results gives by the moments of the lag distribution method was more butter than the results gives by Hannan method . | ||
| Keywords | ||
| Statistical axis | ||
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