Estimating the fractionally integrated process in the presence of measurement errors

DOI10.1016/S0165-1765(99)00041-5zbMath0922.90027OpenAlexW2155506576MaRDI QIDQ1292338

Gilbert Chiu-sing Lui, Terence Tai-Leung Chong

Publication date: 21 June 1999

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(99)00041-5

zbMATH Keywords

measurement errorfractionally integrated modeldifferencing parameter

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (4)

Time series properties of aggregated AR(2) processes ⋮ The polynomial aggregated AR(1) model* ⋮ Estimation of fractional integration in the presence of data noise ⋮ ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR

Cites Work

• Vector attenuation bias in the classical errors-in-variables model
• Long memory processes and fractional integration in econometrics
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Errors in the Variables Bias in the Presence of Correctly Measured Variables
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