A Method for Estimating Distributed Lags when Observations are Randomly Missing.

Abstract

This paper presents a frequency-domain technique for estimating distributed lag coefficients (the impulse-response function) when observations are randomly missed. The technique treats stationary processes with randomly missed observations as amplitude-modulated processes and estimates the transfer function accordingly. Estimates of the lag coefficients are obtained by taking the inverse transform of the estimated transfer function. Results with artificially created data show that technique performs well even when the probability of an observation being missed is one-half and in some cases when the probability is as low as one-fifth. The approximate asymptotic variance of the estimator is also calculated in the paper. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Mar 04, 1981
Accession Number
ADA096628

Entities

People

  • Melvin J. Hinich
  • Warren E. Weber

Organizations

  • Virginia Tech

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Amplitude
  • Coefficients
  • Computer Programs
  • Computers
  • Equations
  • Estimators
  • Frequency Domain
  • Information Science
  • Noise
  • Probability
  • Random Number Generators
  • Random Variables
  • Stationary Processes
  • Statistics
  • Stochastic Processes
  • Transfer Functions
  • White Noise

Readers

  • Statistical inference.