The Sampling Distribution of the Liviatan Estimator of the Geometric Distributed Lag Parameter
几何分布滞后参数的Liviatan估计量的抽样分布
THE USE OF the geometric distributed lag in economics is widespread. The Liviatan [6] method for estimating its parameters is simple and provides consistent estimates. Moreover, it can be used to provide initial estimates for more sophisticated techniques [2]. Not much is known about the statistical properties of these estimators, especially their small sample properties. We do know that their asymptotic efficiencies are inferior to most alternatives [1], and recently Nagar…