Ridge Estimators for Distributed Lag Models
The paper explains how the Almon polynominal lag specification can be made stochastic in two different ways - one suggested by Shiller and another following the lines of Lindley and Smith. It is shown that both the estimators can be considered as modified ridge estimators. The paper then compares these modified ridge estimators with the ridge estimator suggested by Hoerl and Kennard. It is shown that for the estimation of distributed lag models the ridge estimator suggested by Hoerl and Kennard is not useful but that the modified ridge estimators corresponding to the stochastic versions of the Almon lag are promising. The paper has two empirical illustrations.
|Date of creation:||Oct 1974|
|Date of revision:|
|Publication status:||published as Maddala, G. S. (ed.) Econometric methods and applications. Volume 1., Economists of the Twentieth Century series. Aldershot, U.K.: Elgar, 1994.|
|Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
Web page: http://www.nber.org
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Paul W. Holland, 1973. "Weighted Ridge Regression: Combining Ridge and Robust Regression Methods," NBER Working Papers 0011, National Bureau of Economic Research, Inc.
- Shiller, Robert J, 1973. "A Distributed Lag Estimator Derived from Smoothness Priors," Econometrica, Econometric Society, vol. 41(4), pages 775-88, July.
- Leamer, Edward E, 1972. "A Class of Informative Priors and Distributed Lag Analysis," Econometrica, Econometric Society, vol. 40(6), pages 1059-81, November.
- Zellner, Arnold & Geisel, Martin S, 1970. "Analysis of Distributed Lag Models with Application to Consumption Function Estimation," Econometrica, Econometric Society, vol. 38(6), pages 865-88, November.
When requesting a correction, please mention this item's handle: RePEc:nbr:nberwo:0069. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.