Small Sample Properties of Distributed Lag Estimators with Misspecified Lag Structure.

The small sample properties of several distributed lag estimators are examined under conditions of misspecified lag structure, such as fitting a geometric estimator to a second order lag distribution. Evaluation includes analyses of the estimated average lags and the adjustment rates. Lag structure misspecification is found to yield large biases in the average lag and adjustment rate, especially compared to the biases resulting from a correctly specified but poorly designed estimator. The test statistics are found to be unreliable and often misleading indicators of lag structure misspecification. [ABSTRACT FROM AUTHOR]