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Improvement of the Liu‐type Shiller estimator for distributed lag models
Author(s) -
Özbay Nimet,
Kaçıranlar Selahattin
Publication year - 2017
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.2469
Subject(s) - multicollinearity , estimator , distributed lag , ordinary least squares , econometrics , monte carlo method , mathematics , mean squared error , statistics , lag , type (biology) , computer science , regression analysis , computer network , ecology , biology
The problem of multicollinearity produces undesirable effects on ordinary least squares (OLS), Almon and Shiller estimators for distributed lag models. Therefore, we introduce a Liu‐type Shiller estimator to deal with multicollinearity for distributed lag models. Moreover, we theoretically compare the predictive performance of the Liu‐type Shiller estimator with OLS and the Shiller estimators by the prediction mean square error criterion under the target function. Furthermore, an extensive Monte Carlo simulation study is carried out to evaluate the predictive performance of the Liu‐type Shiller estimator.