An examination of distributed lag model coefficients estimated with smoothness priors
- 1 January 1986
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Theory and Methods
- Vol. 15 (6) , 1723-1749
- https://doi.org/10.1080/03610928608829216
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
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