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.
MLA
Meyer, Robert A., and Thomas F. Cargill. “Some Time and Frequency Domain Distributed Lag Estimators: A Comparative Monte Carlo Study.” Econometrica, vol. 42, .no 6, Econometric Society, 1974, pp. 1031-1044, https://www.jstor.org/stable/1914216
Chicago
Meyer, Robert A., and Thomas F. Cargill. “Some Time and Frequency Domain Distributed Lag Estimators: A Comparative Monte Carlo Study.” Econometrica, 42, .no 6, (Econometric Society: 1974), 1031-1044. https://www.jstor.org/stable/1914216
APA
Meyer, R. A., & Cargill, T. F. (1974). Some Time and Frequency Domain Distributed Lag Estimators: A Comparative Monte Carlo Study. Econometrica, 42(6), 1031-1044. https://www.jstor.org/stable/1914216
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