Efficient estimation of distributed lag model in presence of heteroscedasticity of unknown form: A Monte Carlo evidence
In the presence of heteroscedasticity, the ordinary least-squares (OLS) estimator remains no more efficient while the popular Almon technique is being considered for a finite distributed lag model (DLM). The available literature proposes few adaptive estimators which are more efficient than the OLS...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2018-01-01
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| Series: | Cogent Mathematics & Statistics |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/25742558.2018.1538596 |