The Prediction Performance of the Alternative Biased Estimators for the Distributed Lag Models

Dawoud I., KAÇIRANLAR S.

IRANIAN JOURNAL OF SCIENCE AND TECHNOLOGY TRANSACTION A-SCIENCE, cilt.44, ss.85-98, 2020 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 44
  • Basım Tarihi: 2020
  • Doi Numarası: 10.1007/s40995-019-00792-4
  • Dergi Adı: IRANIAN JOURNAL OF SCIENCE AND TECHNOLOGY TRANSACTION A-SCIENCE
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus, ABI/INFORM, Aerospace Database, Agricultural & Environmental Science Database, Aqualine, Aquatic Science & Fisheries Abstracts (ASFA), BIOSIS, CAB Abstracts, Communication Abstracts, zbMATH
  • Sayfa Sayıları: ss.85-98
  • Çukurova Üniversitesi Adresli: Evet

Özet

The finite distributed lag models include highly correlated variables, lagged and unlagged values of the same variables. Some problems are faced for this model when applying the ordinary least squares method or econometric models such as Almon models. Gultay and Kaciranlar (J Math Stat 44:1215-1233, 2015) compared the performance of the alternative biased estimators to the Almon estimator in terms of the mean square error. The primary aim of this study is to evaluate the predictive performance of the alternative biased estimators to the Almon estimator according to the prediction mean square error criterion under the target function. We use the Almon (Econometrica 178-196, 1965) data to illustrate our theoretical results.