Estimating Distributed Lag Coefficients when there are Errors in the Observed Time Series.
VIRGINIA POLYTECHNIC INST AND STATE UNIV BLACKSBURG
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Estimating the distributed lag coefficients hmTAU from a sample of the two processes when xNTAU and ynTAU are measured with error is a statistical problem that is frequently encountered in physical science, engineering, and social science applications. In the engineering and science literature the distributed lags are called the impulse response weights of a causal linear filter. A least squares fit of the model gives biased estimates of the coefficients for this time series version of the errors-in-variables problem. This paper presents approximately unbiased estimators of a scalar multiple of the coefficients. Author
- Statistics and Probability