Measurement Error with Accounting Constraints: Point and Interval Estimation for Latent Data with an Application to U.K. Gross Domestic Product
AbstractAn econometric methodology is proposed for reconciling inaccurate measures of latent data which are subject to accounting constraints. The method deals with the case in which the measurement errors are serially correlated, generalizing previous contributions. A class of efficient estimation are derived for the latent data. Consistent estimators for the weight matrices applied to the observed information based on a linear regression procedure are obtained together with confidence interval estimators for these weight matrices. Approximate confidence intervals are suggested for the latent data themselves together with specification tests for the assumptions underlying the procedure. An application of the proposed method is made to U.K. Gross Domestic Product in constant prices for 1958Y1-89Q4. Copyright 1998 by The Review of Economic Studies Limited.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Review of Economic Studies.
Volume (Year): 65 (1998)
Issue (Month): 1 (January)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0034-6527
Other versions of this item:
- Smith, R.J. & Satchell, S.E., 1995. "Measurement Error with Accounting Constraints: Point and Interval Estimation for Latent Data with an Application to UK Gross Domestic Product," Cambridge Working Papers in Economics 9522, Faculty of Economics, University of Cambridge.
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- Dennis J. Fixler & Jeremy J. Nalewaik, 2007.
"News, noise, and estimates of the "true" unobserved state of the economy,"
Finance and Economics Discussion Series
2007-34, Board of Governors of the Federal Reserve System (U.S.).
- Dennis J. Fixler & Jeremy Nalewaik, 2010. "News, Noise, and Estimates of the "True" Unobserved State of the Economy," BEA Working Papers 0068, Bureau of Economic Analysis.
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