The impact of integrated measurement errors on modeling long-run macroeconomic time series

DOI10.1080/07474938.2017.1307177OpenAlexW2591911103MaRDI QIDQ5864636

James A. Duffy, David F. Hendry

Publication date: 8 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2017.1307177

zbMATH Keywords

cointegrationlocation shiftsintegrated measurement errorslong-run data

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (2)

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Uses Software

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Cites Work

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• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Dynamic Econometrics
• Distributions of error correction tests for cointegration
• Econometric Modelling of Time Series with Outlying Observations

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