Efficient Estimation of the Geometric Distributed Lag Model: Some Monte Carlo Results on Small Sample Properties

DOI10.2307/2526220MaRDI QIDQ3703166zbMATH OpenOpenAlexFDO

Authors Franz C. Palm, E. Vogelvang, David A. Kodde

Publication date 1984

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL http://degree.ubvu.vu.nl/repec/vua/wpaper/pdf/19800012.pdf

zbMATH Keywords

response functionsasymptotically efficient estimatorsuncorrelated errorsstationary datainstrumental variables estimatorfirst order autoregressive errorsiterative Gauss-Newton estimatorsKoyck distributed lag modeltechnique of control variates

Mathematics Subject Classification ID

Point estimation (62F10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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