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/ |
| Divisions: | LSE |
| Date Deposited: | 27 Apr 2007 |
| Last Modified: | 15 Sep 2023 12:02 |
| URI: | http://eprints.lse.ac.uk/id/eprint/1367 |
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