TITLE

AN APPLICATION OF GENERALIZED MAXIMUM ENTROPY AND SOME BIASED ESTIMATION METHODS FOR THE ALMON DISTRIBUTED LAG MODEL: BOOTSTRAP EFFICIENCY

AUTHOR(S)
Çabuk, H. Altan; Akdeniz, Fikri
PUB. DATE
December 2012
SOURCE
Advances & Applications in Statistics;Dec2012, Vol. 31 Issue 2, p103
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
In this study, an unrestricted finite distributed lag model is used to obtain the parameter estimates of an econometric model when the X'X matrix is ill-conditioned. For this aim, linear regression model y = Xβ + u is reparameterized and polynomial distributed lag model or Almon model is used and unknown parameters are estimated using maximum entropy principle, ridge regression, Liu estimation methods. Mean squared error values of the estimators are estimated by the bootstrap method. We compared the generalized maximum entropy (GME) estimator, Almon estimator, ridge regression estimator and Liu estimator with OLS estimator on the widely analyzed dataset on consumption function.
ACCESSION #
86228342

 

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