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B1646
Title: The Almon M-estimator for the distributed lag models in the presence of outliers Authors:  Aslam Muhammad - Bahauddin Zakariya University (Pakistan) [presenting]
Abdul Majid - Pakistan Bureau of Statistics, Regional Office Multan (Pakistan)
Abstract: The Almon technique is widely used for estimation of the distributed lag model (DLM) to encounter the problems associated with the application of ordinary least squares (OLS) to this model. The Almon estimator (AE) may be sensitive to outliers in y-direction. The aim is to propose a robust estimator for parameters of the DLM when the data set contains outliers. The performance of the proposed estimator is evaluated through Monte Carlo simulations. The simulation results reveal an attractive performance of the proposed estimator in presence of outliers.