article · Econometrica · 1969

Estimation of the Coefficients in a Multidimensional Distributed Lag Model

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Abstract

Least squares type estimates of the coefficients b(T), T = multidimensional distributed lag model 0, + 1, + 2,..., in the general Y(t) = f b(s)X(t-s) + e(t) (t =.-1,0, 1,...) s = =00 are considered, where {X(t)} and {Y(t)} are observable random processes,?(t) is an unobservable noise process. The asymptotic joint distribution of the estimates, conditional on the observed spectral density of the input X(t), is given, as well as the unconditional first and second moments, a readily computable confidence ellipsoid, and an approximate expression for the expected covariance in predicting Y(t) from a new realization of X(t), using the estimated coefficients. LET 1.

Cite this paper

APA 7

Wahba, G. (1969). Estimation of the Coefficients in a Multidimensional Distributed Lag Model. Econometrica, 37(3), 398. https://doi.org/10.2307/1912789

MLA 9

Wahba, Grace. “Estimation of the Coefficients in a Multidimensional Distributed Lag Model.” Econometrica, vol. 37, no. 3, 1969, p. 398, https://doi.org/10.2307/1912789.

Chicago

Wahba, Grace. 1969. “Estimation of the Coefficients in a Multidimensional Distributed Lag Model.” Econometrica 37 (3): 398. https://doi.org/10.2307/1912789.

Harvard

Wahba, G. (1969) ‘Estimation of the Coefficients in a Multidimensional Distributed Lag Model’, Econometrica, 37(3), p. 398. Available at: https://doi.org/10.2307/1912789.

BibTeX

@article{wahba1969estimation,
  title = {{Estimation of the Coefficients in a Multidimensional Distributed Lag Model}},
  author = {Wahba, Grace},
  journal = {Econometrica},
  volume = {37},
  number = {3},
  pages = {398},
  year = {1969},
  doi = {10.2307/1912789}
}

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