Efficiency of Mansson’s method: Some numerical findings about the role of biasing parameter in the estimation of distributed lag model

AbstractShiller estimator is preferable depending on its advantages regarding efficiency and smoothness in distributed lag model. As for overcoming the selection problem of the biasing parameter, some methods are introduced in the literature. In this article, several estimators to estimate the biasing parameter of Shiller estimator are examined based on the work of Mansson et al. (2010). To illustrate the performance of these different estimators, a numerical example and a Monte Carlo experiment are carried out. The best performed estimators of the biasing parameter are determined in terms of efficiency as a result of the numerical evaluations.