An Approximation Theorem for the Polynomial Inverse Lag
The polynomial inverse lag (PIL) of Mitchell and Speaker (1986) is a flexible distributed lag technique which is easy to estimate, because it requires only a brief nested search for the polynomial degree and estimation is otherwise linear. This paper presents an approximation theorem for the PIL, showing that a PIL of sufficient degree can arbitrarily closely approximate any absolutely summable sequence of true lag weights, with distance measured by the L1 metric.
Gelles, G. M., & Mitchell, D. W. (1989). An Approximation Theorem for the Polynomial Inverse Lag. Economics Letters, 30(2), pp. 129-132. Elsevier B.V..
The definitive version is available at https://doi.org/10.1016/0165-1765(89)90049-9
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© 1989 Elsevier B.V., All rights reserved.
01 Aug 1989