Estimation of the Autoregressive Order in the Presence of Measurement Errors
Most of the existing autoregressive models presume that the observations are perfectly measured. In empirical studies, the variable of interest is unavoidably measured with various kinds of errors. Thus, misleading conclusions may be yielded due to the inconsistency of the parameter estimates caused...
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| Format: | Article |
| Language: | English |
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Economics Bulletin
2006
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| Online Access: | http://ir.unimas.my/id/eprint/70/ http://ir.unimas.my/id/eprint/70/1/Estimation%20of%20the%20Autoregressive%20Order%20in%20the%20Presence%20of%20Measurement%20Errors%20%28abstract%29.pdf |
| _version_ | 1848834480552280064 |
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| author | Terence, Tai-Leung Chong Venus, Liew Yuanxiu, Zhang Chi-Leung, Wong |
| author_facet | Terence, Tai-Leung Chong Venus, Liew Yuanxiu, Zhang Chi-Leung, Wong |
| author_sort | Terence, Tai-Leung Chong |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | Most of the existing autoregressive models presume that the observations are perfectly measured. In empirical studies, the variable of interest is unavoidably measured with various kinds of errors. Thus, misleading conclusions may be yielded due to the inconsistency of the parameter estimates caused by the measurement errors. Thus far, no theoretical result on the direction of bias of the lag order estimate is available in the literature. In this note, we will discuss the estimation an AR model in the presence of measurement errors. It is shown that the inclusion of measurement errors will drastically increase the complexity of the problem. We show that the lag lengths selected by the AIC and BIC are increasing with the sample size at a logarithmic rate. |
| first_indexed | 2025-11-15T05:52:39Z |
| format | Article |
| id | unimas-70 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T05:52:39Z |
| publishDate | 2006 |
| publisher | Economics Bulletin |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-702016-12-28T02:17:42Z http://ir.unimas.my/id/eprint/70/ Estimation of the Autoregressive Order in the Presence of Measurement Errors Terence, Tai-Leung Chong Venus, Liew Yuanxiu, Zhang Chi-Leung, Wong AC Collections. Series. Collected works HB Economic Theory Most of the existing autoregressive models presume that the observations are perfectly measured. In empirical studies, the variable of interest is unavoidably measured with various kinds of errors. Thus, misleading conclusions may be yielded due to the inconsistency of the parameter estimates caused by the measurement errors. Thus far, no theoretical result on the direction of bias of the lag order estimate is available in the literature. In this note, we will discuss the estimation an AR model in the presence of measurement errors. It is shown that the inclusion of measurement errors will drastically increase the complexity of the problem. We show that the lag lengths selected by the AIC and BIC are increasing with the sample size at a logarithmic rate. Economics Bulletin 2006-05-23 Article PeerReviewed text en http://ir.unimas.my/id/eprint/70/1/Estimation%20of%20the%20Autoregressive%20Order%20in%20the%20Presence%20of%20Measurement%20Errors%20%28abstract%29.pdf Terence, Tai-Leung Chong and Venus, Liew and Yuanxiu, Zhang and Chi-Leung, Wong (2006) Estimation of the Autoregressive Order in the Presence of Measurement Errors. Economics Bulletin, 3 (12). pp. 1-10. |
| spellingShingle | AC Collections. Series. Collected works HB Economic Theory Terence, Tai-Leung Chong Venus, Liew Yuanxiu, Zhang Chi-Leung, Wong Estimation of the Autoregressive Order in the Presence of Measurement Errors |
| title | Estimation of the Autoregressive Order in the Presence of Measurement Errors |
| title_full | Estimation of the Autoregressive Order in the Presence of Measurement Errors |
| title_fullStr | Estimation of the Autoregressive Order in the Presence of Measurement Errors |
| title_full_unstemmed | Estimation of the Autoregressive Order in the Presence of Measurement Errors |
| title_short | Estimation of the Autoregressive Order in the Presence of Measurement Errors |
| title_sort | estimation of the autoregressive order in the presence of measurement errors |
| topic | AC Collections. Series. Collected works HB Economic Theory |
| url | http://ir.unimas.my/id/eprint/70/ http://ir.unimas.my/id/eprint/70/1/Estimation%20of%20the%20Autoregressive%20Order%20in%20the%20Presence%20of%20Measurement%20Errors%20%28abstract%29.pdf |