Some Properties of the Almon Lag Technique When One Searches for Degree of Polynomial and Lag
搜索多项式阶数与滞后长度时 Almon 滞后法的性质
Researchers who use the Almon lag technique to estimate distributed lag models have a particularly difficult problem determining the correct specification of the degree of polynomial and the length of lag. The usual procedure is to search over several possible values for the degree of polynomial and the length of lag and then choose the combination that minimizes the residual variance. This article demonstrates that if one uses this search procedure, the estimated lagged…