IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v16y1995i1p1-15.html
   My bibliography  Save this article

Large Sample Analysis Of Autoregressive Moving‐Average Models With Errors In Variables

Author

Listed:
  • Kamal C. Chanda

Abstract

. We consider estimation of parameters of an unobservable ARMA(p, q) process {Ut; t= 1,2,…} based on a set of n observables, X1, …, Xn, where Xt=Ut, +εt, 1 ≤t≤n, it being assumed that {εt} is independent of {Ut}. We examine the asymptotic properties of these ARMA estimators under a set of weak regularity conditions on {εt}.

Suggested Citation

  • Kamal C. Chanda, 1995. "Large Sample Analysis Of Autoregressive Moving‐Average Models With Errors In Variables," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(1), pages 1-15, January.
    • Handle: RePEc:bla:jtsera:v:16:y:1995:i:1:p:1-15
    DOI: 10.1111/j.1467-9892.1995.tb00220.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9892.1995.tb00220.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1467-9892.1995.tb00220.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Moran, P. A. P., 1971. "Estimating structural and functional relationships," Journal of Multivariate Analysis, Elsevier, vol. 1(2), pages 232-255, June.
    2. B. D. O. Anderson & M. Deistler, 1984. "Identifiability In Dynamic Errors‐In‐Variables Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 5(1), pages 1-13, January.
    3. Robinson, P. M., 1986. "On the errors-in-variables problem for time series," Journal of Multivariate Analysis, Elsevier, vol. 19(2), pages 240-250, August.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Christophe Chesneau & Salima El Kolei & Fabien Navarro, 2022. "Parametric estimation of hidden Markov models by least squares type estimation and deconvolution," Statistical Papers, Springer, vol. 63(5), pages 1615-1648, October.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Shalabh, 1998. "Improved Estimation in Measurement Error Models Through Stein Rule Procedure," Journal of Multivariate Analysis, Elsevier, vol. 67(1), pages 35-48, October.
    2. Robinson, P.M. & Iacone, F., 2005. "Cointegration in fractional systems with deterministic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 263-298.
    3. Brillinger, David R., 1996. "Remarks Concerning Graphical Models for Time Series and Point Processes," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 16(1), November.
    4. Paul A. Bekker & Jan van der Ploeg, 2000. "Instrumental Variable Estimation Based on Grouped Data," Econometric Society World Congress 2000 Contributed Papers 1862, Econometric Society.
    5. A. Ronner & A. Steerneman, 1985. "The occurrence of outliers in the explanatory variable considered in an errors-in-variables framework," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 32(1), pages 97-107, December.
    6. R. Ketellapper & A. Ronner, 1984. "Are robust estimation methods useful in the structural errors-in-variables model?," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 31(1), pages 33-41, December.
    7. Velasco, Carlos, 2000. "Non-Gaussian Log-Periodogram Regression," Econometric Theory, Cambridge University Press, vol. 16(1), pages 44-79, February.
    8. Velasco, Carlos, 1999. "Non-stationary log-periodogram regression," Journal of Econometrics, Elsevier, vol. 91(2), pages 325-371, August.
    9. Chanda, Kamal C., 1999. "Bahadur-Kiefer representations for GM-estimators in linear Markov models with errors in variables," Statistics & Probability Letters, Elsevier, vol. 42(4), pages 401-408, May.
    10. Correndo, Adrian A. & Hefley, Trevor J. & Holzworth, Dean P. & Ciampitti, Ignacio A., 2021. "Revisiting linear regression to test agreement in continuous predicted-observed datasets," Agricultural Systems, Elsevier, vol. 192(C).
    11. Tak Mak & Fassil Nebebe, 2009. "Numerical approximation of conditional asymptotic variances using Monte Carlo simulation," Computational Statistics, Springer, vol. 24(2), pages 333-344, May.
    12. Shuping Shi & Jun Yu, 2023. "Volatility Puzzle: Long Memory or Antipersistency," Management Science, INFORMS, vol. 69(7), pages 3861-3883, July.
    13. Robinson, Peter M. & Velasco, Carlos, 2000. "Whittle pseudo-maximum likelihood estimation for nonstationary time series," LSE Research Online Documents on Economics 2273, London School of Economics and Political Science, LSE Library.
    14. Li, Junbao & Shi, Zhanzhong & He, Chengying & Lv, Chengshuang, 2023. "Peer effects on corporate R&D investment policies: A spatial panel model approach," Journal of Business Research, Elsevier, vol. 158(C).
    15. Longcheen Huwang & Y. Steve Huang & Yi-Hua Tina Wang, 2009. "Uniformly robust tests in errors-in-variables models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(4), pages 789-810, December.
    16. Kalnina, Ilze & Linton, Oliver, 2008. "Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error," Journal of Econometrics, Elsevier, vol. 147(1), pages 47-59, November.
    17. J. Healy, 1979. "On kristof's test for a linear relation between true scores of two measures," Psychometrika, Springer;The Psychometric Society, vol. 44(2), pages 235-238, June.
    18. Willasen, Y., 1998. "Deriving Bounds on the Structural Vector when the Measurement Errors are Correlated: An Elaboration of the Frisch/Reiersol Approach," Memorandum 06/1998, Oslo University, Department of Economics.
    19. Peter M Robinson & Carlos Velasco, 2000. "Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in Journal of the American Statistical Association, 95, (2000), pp.1229-1243.)," STICERD - Econometrics Paper Series 391, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:16:y:1995:i:1:p:1-15. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.