Testing the long‐run response in time series environmetric and econometric models

Time series models are a common tool in both environmetrics and econometrics. Dynamic effects are accommodated by the inclusion of lagged variables. Tests of null hypotheses involving ‘long‐run’ effects are not invariant and, surprisingly, the most commonly used form involves a non‐linear hypothesis when an equivalent linear form is available. As examples we study a simple hydrological model of river flow, a simple electricity demand model and …