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

DOI10.2307/2526220zbMATH Open0581.62095OpenAlexW2000136487MaRDI QIDQ3703166FDOQ3703166

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

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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)

Cited In (5)

• Estimating Distributed Lags in Short Panels with an Application to the Specification of Depreciation Patterns and Capital Stock Constructs
• Geometric combination lags as flexible infinite distributed lag estimators
• Title not available (Why is that?)
• On the econometrics of the geometric lag model
• An examination of distributed lag model coefficients estimated with smoothness priors

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