Ridge Estimators for Distributed Lag Models

G.S. Maddala

No 69, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

Date: 1974-10
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published as Maddala, G. S. (ed.) Econometric methods and applications. Volume 1., Economists of the Twentieth Century series. Aldershot, U.K.: Elgar, 1994.

Downloads: (external link)
http://www.nber.org/papers/w0069.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:0069

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w0069

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().