Distributed lag approximation to linear time-invariant systems
Robinson, P.
(1979).
Distributed lag approximation to linear time-invariant systems.
Annals of Statistics,
7(3), 507-515.
https://doi.org/10.1214/aos/1176344672
An infinite distributed lag system is approximated by a truncated one, which can be consistently estimated. We investigate the rate at which the parameter space in the approximate model can be increased as sample size increases, in such a way that these estimates will provide consistent estimates of the underlying system.
| Item Type | Article |
|---|---|
| Departments | LSE |
| DOI | 10.1214/aos/1176344672 |
| Date Deposited | 27 Apr 2007 |
| URI | https://researchonline.lse.ac.uk/id/eprint/1367 |
Explore Further
- http://www.lse.ac.uk/economics/people/faculty/peter-robinson.aspx (Author)
- http://imstat.org/ (Official URL)