Almon-KL estimator for the distributed lag model

الملخص EN

The Almon technique is widely used to estimate the parameters of the distributed lag model (DLM).

The technique suffers a setback from the challenge of multicollinearity because the explanatory variables and their lagged values are often correlated.

The Almon-Ridge estimator (A-RE) and Almon-Liu estimator (A-LE) were introduced as alternative estimators for efficient modelling.

We developed a new method of estimating the coefficients of the DLM using the Almon-KL estimator (A-KLE).

A-KLE dominates the other estimators considered in this study via theoretical findings, simulation design and two numerical examples.

The estimators’ performance was compared using the mean squared error.