Filtered least squares and measurement error
AbstractLi, Maddala, and Rush (1995) proposed a low-pass spectral filter method to estimate cointegrating vectors in small samples. This paper tests the effectiveness of the approach in the presence of measurement error. Two other methods, valid under the assumption of stationarity, are also tested.
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Bibliographic InfoPaper provided by National Institute of Economic and Social Research in its series NIESR Discussion Papers with number 130.
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