Title

Geometric Combination Lags as Flexible Infinite Distributed Lag Estimators

Abstract

This paper considers a new class of distributed lag estimators, the geometric combination lag (GCL), with several desirable properties. The estimated weight structure is flexible in practice and satisfies a theoretical approximation theorem. The truncated remainder terms can be estimated rather than simply being dropped. Estimation requires very little computational effort and, under the maintained assumptions, has the properties of OLS. These features will make the GCL attractive to applied researches.

Department(s)

Economics

International Standard Serial Number (ISSN)

0165-1889

Document Type

Article - Journal

Document Version

Citation

File Type

text

Language(s)

English

Rights

© 1989 Elsevier, All rights reserved.

Publication Date

01 Apr 1989

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