Almon-KL estimator for the distributed lag model
Article
Lukman, AF, Kibria, GBM. (2021). Almon-KL estimator for the distributed lag model
. Arab Journal of Basic and Applied Sciences, 28(1), 406-412. 10.1080/25765299.2021.1989160
Lukman, AF, Kibria, GBM. (2021). Almon-KL estimator for the distributed lag model
. Arab Journal of Basic and Applied Sciences, 28(1), 406-412. 10.1080/25765299.2021.1989160
The Almon technique is widely used to estimate the parameters of the distributed lag model (DLM). The technique suffers a setback from the challenge of multicollinearity because the explanatory variables and their lagged values are often correlated. The Almon-Ridge estimator (A-RE) and Almon-Liu estimator (A-LE) were introduced as alternative estimators for efficient modelling. We developed a new method of estimating the coefficients of the DLM using the Almon-KL estimator (A-KLE). A-KLE dominates the other estimators considered in this study via theoretical findings, simulation design and two numerical examples. The estimators’ performance was compared using the mean squared error.
