Estimating the fractionally integrated process in the presence of measurement errors
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References listed on IDEAS
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- Nelson, Daniel B., 1995. "Vector attenuation bias in the classical errors-in-variables model," Economics Letters, Elsevier, vol. 49(4), pages 345-349, October.
- 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.
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
- Levi, Maurice D, 1973. "Errors in the Variables Bias in the Presence of Correctly Measured Variables," Econometrica, Econometric Society, vol. 41(5), pages 985-986, September.