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Distributed lag approximation to linear time-invariant systems

Robinson, Peter (1979) Distributed lag approximation to linear time-invariant systems. Annals of Statistics, 7 (3). pp. 507-515. ISSN 0090-5364

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Identification Number: 10.1214/aos/1176344672

Abstract

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
Official URL: http://imstat.org/
Sets: Collections > Economists Online
Date Deposited: 27 Apr 2007
Last Modified: 30 Nov 2011 17:09
URI: http://eprints.lse.ac.uk/id/eprint/1367

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