Estimation of polynomial distributed and leads with end point constraints

This paper wnsiders the use of the polynomial distributed lag (PDL) Cechnique when the lag length is estimated rather than tixed. We focus on the case where the degree of the polynomial is fixed_ the polynomial is mnstrained to be zero at a Certain lag length q. and q is estimated along with the other parameters. We extend the traditional PDL setup by allowing q to he real-valued rather than integer-valued. and we derive the asymptotic CowCane matrix of all the parameter estimates, including the estimate of q. The paper also considers the estimation of distributed leads rather than lags, a case that can arise if expectations are assumed 10 be rational.