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Estimating the fractionally integrated process in the presence of measurement errors

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  • Chong, Terence Tai-leung
  • Lui, Gilbert Chiu-sing

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File URL: http://www.sciencedirect.com/science/article/B6V84-3WRBR6C-6/2/ccfe08883f3ab8736db99b88c6c6865d
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 63 (1999)
Issue (Month): 3 (June)
Pages: 285-294

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Handle: RePEc:eee:ecolet:v:63:y:1999:i:3:p:285-294

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References

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  1. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
  2. Levi, Maurice D, 1973. "Errors in the Variables Bias in the Presence of Correctly Measured Variables," Econometrica, Econometric Society, vol. 41(5), pages 985-86, September.
  3. Tai-leung, Chong, 1996. "Estimating the Unit Root Process in the Presence of Measurement Errors," Departmental Working Papers _067, Chinese University of Hong Kong, Department of Economics.
  4. Nelson, Daniel B., 1995. "Vector attenuation bias in the classical errors-in-variables model," Economics Letters, Elsevier, vol. 49(4), pages 345-349, October.
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Cited by:
  1. repec:ebl:ecbull:v:3:y:2007:i:36:p:1-19 is not listed on IDEAS
  2. Haldrup, Niels & Nielsen, Morten Oe., . "Estimation of Fractional Integration in the Presence of Data Noise," Economics Working Papers 2003-10, School of Economics and Management, University of Aarhus.
  3. Chong, Terence Tai-leung & Wong, Kwan-to, 2001. "Time series properties of aggregated AR(2) processes," Economics Letters, Elsevier, vol. 73(3), pages 325-332, December.
  4. Terence Tai-Leung Chong & Kwan-To Wong & Melvin Hinich, 2007. "Identification and Estimation of Structural-Change Models with Misclassification," Economics Bulletin, AccessEcon, vol. 3(36), pages 1-19.

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