Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

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Econometrica: Apr, 1968, Volume 36, Issue 2

The Bias of Liviatan's Consistent Estimator in a Distributed Lag Model

https://www.jstor.org/stable/1907493
p. 337-342

A. L. Nagar, Y. P. Gupta

In an earlier article published in the International Economic Review (1963) Liviatan proposed a consistent estimator for a distributed lag model. In the present note we analyze the bias of this estimator to order 1/T, T being the number of observations.

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