That post drew quite a number of email requests for more information about the Almon estimator, and how it fits into the overall scheme of things. In addition, Almon's approach to modelling distributed lags has been used very effectively more recently in the estimation of the so-called MIDAS model. The MIDAS model (developed by Eric Ghysels and his colleagues - e.g., see Ghysels et al., 2004) is designed to handle regression analysis using data with different observation frequencies. The acronym, "MIDAS", stands for "Mixed-Data Sampling". The MIDAS model can be implemented in R, for instance (e.g., see here), as well as in EViews. (I discussed this in this earlier post.)
For these reasons I thought I'd put together this follow-up post by way of an introduction to the Almon DL model, and some of the advantages and pitfalls associated with using it.
Let's take a look.