An examination of distributed lag model coefficients estimated with smoothness priors |
| |
| Authors: | SS Thurman PAVB Swamy JS Mehta |
| |
| Institution: | 1. Congressional Budget Office , Washington, D.C, 20551;2. Federal Reserve Board , Washington, D.C, 20551;3. Temple University , Philadelphia, Pa, 19122 |
| |
| Abstract: | The estimator for the coefficients of a distributed lag model with smoothness priors proposed by Shi Her (1973) is examined and an alternative ridge-type estimator is obtained utilizing restricted least squares approach, A Monte Carlo experiment is carried out to compare the behavior of these estimators. |
| |
| Keywords: | distributed lag model smoothness priors least squares estimation regression coefficients |
|
|
