Geometric Combination Lags as Flexible Infinite Distributed Lag Estimators

Author

Paul J. Speaker
Douglas W. Mitchell
Gregory M. Gelles, Missouri University of Science and TechnologyFollow

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.

Recommended Citation

Speaker, P. J., Mitchell, D. W., & Gelles, G. M. (1989). Geometric Combination Lags as Flexible Infinite Distributed Lag Estimators. Journal of Economic Dynamics and Control, 13(2), pp. 171-185. Elsevier.

The definitive version is available at https://doi.org/10.1016/0165-1889(89)90016-X

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