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Estimating the Fractionally Integrated Process in the Presence of Measurement Errors

  • Terence Tai-Leung, Chong
  • Gilbert Chiu-Sing, Lui

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Paper provided by Chinese University of Hong Kong, Department of Economics in its series Departmental Working Papers with number _090.

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Date of creation: Mar 1998
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Handle: RePEc:chk:cuhked:_090
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  1. 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.
  2. 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.
  3. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
  4. Nelson, Daniel B., 1995. "Vector attenuation bias in the classical errors-in-variables model," Economics Letters, Elsevier, vol. 49(4), pages 345-349, October.
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