Why Exponential Almon Lag Works Well in Econometrics: An Invariance-Based Explanation

Authors

Laxman Bokati, The University of Texas at El PasoFollow
Vladik Kreinovich, The University of Texas at El PasoFollow

Publication Date

9-1-2022

Comments

Technical Report: UTEP-CS-22-97a

To appear in Proceedings of the 11th IEEE International Conference on Intelligent Systems IS'22, Warsaw, Poland, October 12-14, 2022.

Abstract

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.