Shiller's Distributed Lag Estimator: Exact Finite Sample Results
Ghazal, G., Harroun, A. (1988). Shiller's Distributed Lag Estimator: Exact Finite Sample Results. EKB Journal Management System, 32(1), 43-56. doi: 10.21608/esju.1988.428705
G.A. Ghazal; A.H. Harroun. "Shiller's Distributed Lag Estimator: Exact Finite Sample Results". EKB Journal Management System, 32, 1, 1988, 43-56. doi: 10.21608/esju.1988.428705
Ghazal, G., Harroun, A. (1988). 'Shiller's Distributed Lag Estimator: Exact Finite Sample Results', EKB Journal Management System, 32(1), pp. 43-56. doi: 10.21608/esju.1988.428705
Ghazal, G., Harroun, A. Shiller's Distributed Lag Estimator: Exact Finite Sample Results. EKB Journal Management System, 1988; 32(1): 43-56. doi: 10.21608/esju.1988.428705

Shiller's Distributed Lag Estimator: Exact Finite Sample Results

The Egyptian Statistical Journal
Article 3, Volume 32, Issue 1, June 1988, Page 43-56  XML PDF (7.96 MB)
Document Type: Original Article
DOI: 10.21608/esju.1988.428705
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Authors
G.A. Ghazal; A.H. Harroun
Institute of Statistical Studies & Research, Cairo University, Egypt
Abstract
This paper is concerned with Shiner's estimator of papameters in a polynomial distributed lag models. The purpose here is to derive the exact moments of Shiller's estimator analytically, and compare its mean square error (MSE) with (1) MSE of ordinary Least squares, and (2) MSE of Gauss Markov estimator.
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