The Prediction Performance of the Alternative Biased Estimators for the Distributed Lag Models

Abstract

The finite distributed lag models include highly correlated variables, lagged and unlagged values of the same variables. Some problems are faced for this model when applying the ordinary least squares method or econometric models such as Almon models. Gultay and Kaciranlar (J Math Stat 44:1215–1233, 2015) compared the performance of the alternative biased estimators to the Almon estimator in terms of the mean square error. The primary aim of this study is to evaluate the predictive performance of the alternative biased estimators to the Almon estimator according to the prediction mean square error criterion under the target function. We use the Almon (Econometrica 178–196, 1965) data to illustrate our theoretical results.