#6619. Almon-KL estimator for the distributed lag model

December 2026publication date
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Abstract:
The Almon technique is widely used to estimate the parameters of the distributed lag model (DLM). The technique suffers a setback from the challenge of multicollinearity because the explanatory variables and their lagged values are often correlated. The Almon-Ridge estimator (A-RE) and Almon-Liu estimator (A-LE) were introduced as alternative estimators for efficient modelling. We developed a new method of estimating the coefficients of the DLM using the Almon-KL estimator (A-KLE). A-KLE dominates the other estimators considered in this study via theoretical findings, simulation design and two numerical examples. The estimators’ performance was compared using the mean squared error.
Keywords:
Almon estimator; Almon-KL; Almon-Liu; Almon-Ridge; distributed lag model; MSE; multicollinearity

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