Estimating the Fractionally Integrated Process in the Presence of Measurement Errors
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Bibliographic InfoPaper provided by Chinese University of Hong Kong, Department of Economics in its series Departmental Working Papers with number _090.
Date of creation: Mar 1998
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Other versions of this item:
- Chong, Terence Tai-leung & Lui, Gilbert Chiu-sing, 1999. "Estimating the fractionally integrated process in the presence of measurement errors," Economics Letters, Elsevier, vol. 63(3), pages 285-294, June.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
- Nelson, Daniel B., 1995. "Vector attenuation bias in the classical errors-in-variables model," Economics Letters, Elsevier, vol. 49(4), pages 345-349, October.
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
- Terence Tai-leung Chong & Kwan-to Wong, 2000.
"Time Series Properties of Aggregated AR(2) Processes,"
Departmental Working Papers
_130, Chinese University of Hong Kong, Department of Economics.
- 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.
- Haldrup, Niels & Nielsen, Morten Orregaard, 2007.
"Estimation of fractional integration in the presence of data noise,"
Computational Statistics & Data Analysis,
Elsevier, vol. 51(6), pages 3100-3114, March.
- 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.
- repec:ebl:ecbull:v:3:y:2007:i:36:p:1-19 is not listed on IDEAS
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