The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Nov, 1974, Volume 42, Issue 6
https://doi.org/0012-9682(197411)42:6<1031:STAFDD>2.0.CO;2-A
p. 1031-1044
Robert A. Meyer, Thomas F. Cargill
This paper presents a comparison of three distributed lag estimators: OLS, the Almon procedure, and the Hannan "inefficient" method. Each method is compared for sample sizes of 50 and 100 for several alternative distributed lag shapes and residual process structures. The results not only reveal the relative performance of these estimators, but also provide evidence on each method's performance under misspecification with respect to lag length and the residual process.
