Shiller's Distributed Lag Estimator: Exact Finite Sample Results

Document Type : Original Article

Authors

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.