Econometrica Vol. 42 No. 6 1974
Some Time and Frequency Domain Distributed Lag Estimators: A Comparative Monte Carlo Study
Abstract
This paper presents a comparison of three distributed lag estimators: OLS, the Almon procedure, and the Hannan inefficient method. Each method is compared for sample sizes of 50 and 100 for several alternative distributed lag shapes and residual process structures. The results not only reveal the relative performance of these estimators, but also provide evidence on each method's performance under misspecification with respect to lag length and the residual process.
- DOI
- 10.2307/1914216
- Volume
- 42
- Issue
- 6
- Pages
- 1031
- Sources
- bibtex:phds-export.bib openalex crossref