Almon-KL estimator for the distributed lag model
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 est...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2021-01-01
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| Series: | Arab Journal of Basic and Applied Sciences |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/25765299.2021.1989160 |
| _version_ | 1818966916212981760 |
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| author | Adewale F. Lukman Golam B. M. Kibria |
| author_facet | Adewale F. Lukman Golam B. M. Kibria |
| author_sort | Adewale F. Lukman |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-20T13:40:30Z |
| format | Article |
| id | doaj.art-75a887691d5247348349f8a887acfd29 |
| institution | Directory Open Access Journal |
| issn | 2576-5299 |
| language | English |
| last_indexed | 2024-12-20T13:40:30Z |
| publishDate | 2021-01-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Arab Journal of Basic and Applied Sciences |
| spelling | doaj.art-75a887691d5247348349f8a887acfd292022-12-21T19:38:50ZengTaylor & Francis GroupArab Journal of Basic and Applied Sciences2576-52992021-01-0128140641210.1080/25765299.2021.19891601989160Almon-KL estimator for the distributed lag modelAdewale F. Lukman0Golam B. M. Kibria1Department of Mathematics, Landmark UniversityDepartment of Mathematics and Statistics, Florida International UniversityThe 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.http://dx.doi.org/10.1080/25765299.2021.1989160almon estimatoralmon-ridgealmon-liualmon-kldistributed lag modelmsemulticollinearity |
| spellingShingle | Adewale F. Lukman Golam B. M. Kibria Almon-KL estimator for the distributed lag model Arab Journal of Basic and Applied Sciences almon estimator almon-ridge almon-liu almon-kl distributed lag model mse multicollinearity |
| title | Almon-KL estimator for the distributed lag model |
| title_full | Almon-KL estimator for the distributed lag model |
| title_fullStr | Almon-KL estimator for the distributed lag model |
| title_full_unstemmed | Almon-KL estimator for the distributed lag model |
| title_short | Almon-KL estimator for the distributed lag model |
| title_sort | almon kl estimator for the distributed lag model |
| topic | almon estimator almon-ridge almon-liu almon-kl distributed lag model mse multicollinearity |
| url | http://dx.doi.org/10.1080/25765299.2021.1989160 |
| work_keys_str_mv | AT adewaleflukman almonklestimatorforthedistributedlagmodel AT golambmkibria almonklestimatorforthedistributedlagmodel |