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Filtered least squares and measurement error

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  • Blake, Andrew P.
  • Camba-Mendez, Gonzalo

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File URL: http://www.sciencedirect.com/science/article/B6V84-3VCV3DN-4/2/7a202b023430e7134bf8bd53e8beb1f2
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 59 (1998)
Issue (Month): 2 (May)
Pages: 163-168

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Handle: RePEc:eee:ecolet:v:59:y:1998:i:2:p:163-168

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Web page: http://www.elsevier.com/locate/ecolet

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References

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  1. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-28, August.
  2. Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers 944, Cowles Foundation for Research in Economics, Yale University.
  3. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  4. Phillips, Peter C B & Hansen, Bruce E, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Wiley Blackwell, vol. 57(1), pages 99-125, January.
  5. Li, Yikang & Maddala, G. S. & Rush, Mark, 1995. "New small sample estimators for cointegration regression: Low-pass spectral filter method," Economics Letters, Elsevier, vol. 47(2), pages 123-129, February.
  6. Fischer, Andreas M., 1990. "Cointegration and I(0) measurement error bias," Economics Letters, Elsevier, vol. 34(3), pages 255-259, November.
  7. Banerjee, Anindya, et al, 1986. "Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 253-77, August.
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Cited by:
  1. Fukuda, Kosei, 2005. "Unit-root detection allowing for measurement error," Statistics & Probability Letters, Elsevier, vol. 74(4), pages 373-377, October.

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