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Estimating the Fractionally Integrated Process in the Presence of Measurement Errors

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  • Terence Tai-Leung, Chong
  • Gilbert Chiu-Sing, Lui

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Bibliographic Info

Paper provided by Chinese University of Hong Kong, Department of Economics in its series Departmental Working Papers with number _090.

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Date of creation: Mar 1998
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Handle: RePEc:chk:cuhked:_090

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References

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  1. Levi, Maurice D, 1973. "Errors in the Variables Bias in the Presence of Correctly Measured Variables," Econometrica, Econometric Society, Econometric Society, vol. 41(5), pages 985-86, September.
  2. Nelson, Daniel B., 1995. "Vector attenuation bias in the classical errors-in-variables model," Economics Letters, Elsevier, vol. 49(4), pages 345-349, October.
  3. Tai-leung, Chong, 1996. "Estimating the Unit Root Process in the Presence of Measurement Errors," Departmental Working Papers, Chinese University of Hong Kong, Department of Economics _067, Chinese University of Hong Kong, Department of Economics.
  4. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, Elsevier, vol. 73(1), pages 5-59, July.
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Cited by:
  1. Terence Tai-leung Chong & Kwan-to Wong, 2000. "Time Series Properties of Aggregated AR(2) Processes," Departmental Working Papers, Chinese University of Hong Kong, Department of Economics _130, Chinese University of Hong Kong, Department of Economics.
  2. Haldrup, Niels & Nielsen, Morten Orregaard, 2007. "Estimation of fractional integration in the presence of data noise," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(6), pages 3100-3114, March.
  3. repec:ebl:ecbull:v:3:y:2007:i:36:p:1-19 is not listed on IDEAS
  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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