Date of this Version
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.
Lukman, Adewale F. and Kibria, Golam B.M., "Almon-KL estimator for the distributed lag model" (2021). All Faculty. 465.