Almon-KL estimator for the distributed lag model. Issue 1 (1st January 2021)

• Record Type: Journal Article
• Authors: Lukman, Adewale F.; Kibria, Golam B. M.
• Is Part Of: Arab journal of basic and applied sciences. Volume 28:Issue 1(2021)
• Page Start: 406
• Page End: 412
• Publication Date: 2021-01-01
• Subjects: Almon estimator -- Almon-Ridge -- Almon-Liu -- Almon-KL -- distributed lag model -- MSE -- multicollinearity; 62J05 -- 62J99; Science -- Arab countries -- Periodicals; Science -- Periodicals; Science; Arab countries; Periodicals; Electronic journals; 500
• DOI: 10.1080/25765299.2021.1989160
• Languages: English
• ISSNs: 2576-5299

Abstract

Abstract: 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.