Improvement of the Liu-type Shiller estimator for distributed lag models

ÖZBAY N., KAÇIRANLAR S.

JOURNAL OF FORECASTING, vol.36, no.7, pp.776-783, 2017 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 36 Issue: 7
  • Publication Date: 2017
  • Doi Number: 10.1002/for.2469
  • Journal Name: JOURNAL OF FORECASTING
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus
  • Page Numbers: pp.776-783
  • Keywords: distributed lag model, Liu-type Shiller estimator, prediction mean square error, target function, SMOOTHNESS PRIORS, LINEAR-REGRESSION, RIDGE ESTIMATORS
  • Çukurova University Affiliated: Yes

Abstract

The problem of multicollinearity produces undesirable effects on ordinary least squares (OLS), Almon and Shiller estimators for distributed lag models. Therefore, we introduce a Liu-type Shiller estimator to deal with multicollinearity for distributed lag models. Moreover, we theoretically compare the predictive performance of the Liu-type Shiller estimator with OLS and the Shiller estimators by the prediction mean square error criterion under the target function. Furthermore, an extensive Monte Carlo simulation study is carried out to evaluate the predictive performance of the Liu-type Shiller estimator.