Estimating the Fractionally Integrated Process in the Presence of Measurement Errors
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Other versions of this item:
- Chong, Terence Tai-leung & Lui, Gilbert Chiu-sing, 1999. "Estimating the fractionally integrated process in the presence of measurement errors," Economics Letters, Elsevier, vol. 63(3), pages 285-294, June.
References listed on IDEAS
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Chong, Terence Tai-leung & Wong, Kwan-to, 2001.
"Time series properties of aggregated AR(2) processes,"
Elsevier, vol. 73(3), pages 325-332, December.
- Terence Tai-leung Chong & Kwan-to Wong, 2000. "Time Series Properties of Aggregated AR(2) Processes," Departmental Working Papers _130, Chinese University of Hong Kong, Department of Economics.
- Haldrup, Niels & Nielsen, Morten Orregaard, 2007.
"Estimation of fractional integration in the presence of data noise,"
Computational Statistics & Data Analysis,
Elsevier, vol. 51(6), pages 3100-3114, March.
- Haldrup, Niels & Nielsen, Morten Oe., "undated". "Estimation of Fractional Integration in the Presence of Data Noise," Economics Working Papers 2003-10, Department of Economics and Business Economics, Aarhus University.
- Terence Tai-Leung Chong & Kwan-To Wong & Melvin Hinich, 2007. "Identification and Estimation of Structural-Change Models with Misclassification," Economics Bulletin, AccessEcon, vol. 3(36), pages 1-19.
- Perez, Ana & Ruiz, Esther, 2001.
"Finite sample properties of a QML estimator of stochastic volatility models with long memory,"
Elsevier, vol. 70(2), pages 157-164, February.
- Pérez, Ana & Ruiz, Esther, 1999. "Finite sample properties of a QML estimator of stochastic volatility models with long memory," DES - Working Papers. Statistics and Econometrics. WS 6360, Universidad Carlos III de Madrid. Departamento de Estadística.
- repec:ebl:ecbull:v:3:y:2007:i:36:p:1-19 is not listed on IDEAS
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