Comparisons of the alternative biased estimators for the distributed lag models

GÜLER H., GÜLTAY B., KAÇIRANLAR S.

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, vol.46, no.4, pp.3306-3318, 2017 (SCI-Expanded) identifier identifier

  • Publication Type: Article / Article
  • Volume: 46 Issue: 4
  • Publication Date: 2017
  • Doi Number: 10.1080/03610918.2015.1053919
  • Journal Name: COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Page Numbers: pp.3306-3318
  • Keywords: Almon estimator, Finite distributed lag model, Liu estimator, Ridge estimator, RIDGE-REGRESSION ESTIMATORS, LINEAR-REGRESSION, PERFORMANCE
  • Çanakkale Onsekiz Mart University Affiliated: Yes

Abstract

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 performances of alternative estimators to the OLS estimator defined by combining the Almon estimator with some estimators using Almon (1965) data. A simulation study with different model parameters is performed and the estimators are compared according to the root mean square error (RMSE) and prediction mean square error (PMSE).