HACETTEPE JOURNAL OF MATHEMATICS AND STATISTICS, vol.44, no.5, pp.1215-1233, 2015 (SCI-Expanded)
The finite distributed lag models include highly correlated variables as well as lagged and unlagged values of the same variables. Some problems are faced for this model when applying the ordinary least squares (OLS) method or econometric models such as Almon and Koyck models. The primary aim of this study is to compare the performances of alternative estimators to the OLS estimator defined by combining the Almon estimator with some other estimators according to the mean square error (MSE) criterion. We use Almon  data to illustrate our theoretical results.