The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Jul, 1967, Volume 35, Issue 3
https://doi.org/0012-9682(196707/10)35:3/4<509:ACSOAE>2.0.CO;2-7
p. 509-529
Takeshi Amemiya, Wayne A. Fuller
Hannan in "Regression for Time Series" [4] proposed an interesting method of estimating regression coefficients using spectral techniques, and later in "The Estimation of Relationship Involving Distributed Lags" [5] applied the method to the estimation of parameters in a distributed lag model. This paper first illustrates that Hannan's method in his former article is asymptotically equal to Aitken's least-squares estimation in which the covariance matrix of the regression residual is estimated in a certain consistent manner from the calculated residuals. Next it proves that Hannan's method in his latter article is asymptotically equal to maximum likelihood estimation of the distributed lag model. Hannan's method is useful when the investigator's a priori knowledge about the stochastic process of the residual is minimal. But if the process can be specified to be, say, a first order or second order autoregressive system, it is desirable to use such knowledge in estimation. For such a case, the paper proposes an estimator of the distributed lag model based on the Gauss-Newton iterative method and proves it to be asymptotically equal to the maximum likelihood estimator. The paper evaluates the asymptotic distribution of two other estimators of the distributed lag model, including the one proposed by Klein [7].
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
