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Filtered least squares and measurement error

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Author Info
Andrew P. Blake and ()
Gonzalo Camba-Mendez ()

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Abstract

Li, 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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Paper provided by National Institute of Economic and Social Research in its series NIESR Discussion Papers with number 130.

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Date of creation: Jan 1998
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Handle: RePEc:nsr:niesrd:130

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