The Almon two parameter estimator for the distributed lag models


ÖZBAY N. , KAÇIRANLAR S.

JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, vol.87, no.4, pp.834-843, 2017 (Journal Indexed in SCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 87 Issue: 4
  • Publication Date: 2017
  • Doi Number: 10.1080/00949655.2016.1229317
  • Title of Journal : JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
  • Page Numbers: pp.834-843
  • Keywords: Almon estimator, Almon Liu estimator, Almon ridge estimator, Almon two parameter estimator, finite distributed lag model, multicollinearity, REGRESSION

Abstract

The two parameter estimator proposed by ozkale and Kacranlar [The restricted and unrestricted two parameter estimators. Comm Statist Theory Methods. 2007;36(15):2707-2725] is a general estimator which includes the ordinary least squares, the ridge and the Liu estimators as special cases. In the present paper we introduce Almon two parameter estimator based on the two parameter estimation procedure to deal with the problem of multicollinearity for the distiributed lag models. This estimator outperforms the Almon estimator according to the matrix mean square error criterion. Moreover, a numerical example and a Monte Carlo simulation experiment are presented by using different estimators of the biasing parameters.