Why Exponential Almon Lag Works Well in Econometrics: An Invariance-Based Explanation
Technical Report: UTEP-CS-22-97
In many econometric situations, we can predict future values of relevant quantities by using an empirical formula known as exponential Almon lag. While this formula is empirically successful, there have been no convincing theoretical explanation for this success. In this paper, we provide such a theoretical explanation based on general invariance ideas.