Econometrica: May 1973, Volume 41, Issue 3

The Sampling Distribution of the Liviatan Estimator of the Geometric Distributed Lag Parameter

https://doi.org/0012-9682(197305)41:3<503:TSDOTL>2.0.CO;2-Y
p. 503-508

John L. Scadding

The Liviatan estimator of the geometric distributed lag parameter is a ratio of two ordinary least squares estimators. The standard result on the distribution of the ratio of two normal variates is then used, and the problems of setting confidence limits are briefly illustrated.

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