Mean square error comparisons of the alternative estimators for the distributed lag models

Authors : Berrin GÜLTAY, Selahattin KAÇIRANLAR

Pages : 1215-1233

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Publication Date : 2015-10-01

Article Type : Research Paper

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 insert ignore into journalissuearticles values(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 insert ignore into journalissuearticles values(MSE); criterion. We use Almon [2] data to illustrate our theoretical results.
Keywords : Finite distributed lag model, Almon estimator, Ridge estimator, Liu estimator