Ridge Estimators for Distributed Lag Models / G.S. Maddala.

Format:

Book

Author/Creator:

Maddala, G.S.

Contributor:

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w0069.

NBER working paper series no. w0069

Language:

English

Subjects (All):

Estimation theory.

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1974.

Cambridge, Mass. : National Bureau of Economic Research, 1974.

Summary:

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.

Notes:

Print version record

October 1974.