Comparisons of the alternative biased estimators for the distributed lag models

GÜLER H., GÜLTAY B., KAÇIRANLAR S.

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, cilt.46, sa.4, ss.3306-3318, 2017 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 46 Sayı: 4
  • Basım Tarihi: 2017
  • Doi Numarası: 10.1080/03610918.2015.1053919
  • Dergi Adı: COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.3306-3318
  • Anahtar Kelimeler: Almon estimator, Finite distributed lag model, Liu estimator, Ridge estimator, RIDGE-REGRESSION ESTIMATORS, LINEAR-REGRESSION, PERFORMANCE
  • Çanakkale Onsekiz Mart Üniversitesi Adresli: Evet

Özet

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).