Date of this Version
1-1-2021
Document Type
Article
Abstract
The Almon technique is widely used to estimate the parameters of the distributed lag model (DLM). The technique suffers a setback from the challenge of multicollinearity because the explanatory variables and their lagged values are often correlated. The Almon-Ridge estimator (A-RE) and Almon-Liu estimator (A-LE) were introduced as alternative estimators for efficient modelling. We developed a new method of estimating the coefficients of the DLM using the Almon-KL estimator (A-KLE). A-KLE dominates the other estimators considered in this study via theoretical findings, simulation design and two numerical examples. The estimators’ performance was compared using the mean squared error.
DOI
10.1080/25765299.2021.1989160
Recommended Citation
Lukman, Adewale F. and Kibria, Golam B.M., "Almon-KL estimator for the distributed lag model" (2021). All Faculty. 465.
https://digitalcommons.fiu.edu/all_faculty/465
